As revealed by Goal on Friday, the Blues reignited their interest in the France international after reaching a deal to loan Fernando Torres to AC Milan.
Remy was not included in the Rs' squad to face Sunderland in the Premier League on Saturday, which the former Tottenham boss confirmed was due to a transfer development.
"We had a spanner thrown in the works at 12 o'clock today when I got a phone call to say that Loic is leaving, which was a massive shock to me," Redknapp told the press after his side's 1-0 victory. "I didn't expect that at all.
"Absolutely, he was [due to be] playing today. He worked yesterday with the team and I never had any idea that he might be leaving.
"It's not his fault, I'm not criticising him. He's gone to Chelsea, in the Champions League - it's very difficult, let's all be honest. We can sit and say 'oh, he shouldn't do it' but it's a fantastic opportunity for the boy and it's difficult to turn down.
"He's got a buyout clause; he's the cheapest buy of the century. When you look at what strikers are going for at the moment, Championship strikers, everyone, they're eights, nines, elevens and twelves and there's a boy, a French international, a top-class striker but there's nothing we can do about it.
"He would've played today - it wasn't a case of him refusing to play. He came in and had a chat and I said: 'Look, Loic, I think it might be difficult, I need 11 out there today whose heads are completely on playing for QPR.' I took the decision, he would've played, he didn't refuse to play or anything else."
Asked if he had money to spend on a replacement, Redknapp replied: "I don't know.
"The chairman's been great - he's been excellent - so we're not looking to spend £10 million on a striker. We've got Bobby [Zamora] and we've got Charlie [Austin], who are the out-and-out strikers, so it's an area we're looking at."
Remy nearly joined Liverpool earlier this summer, having spent last season on loan with Newcastle, but the move broke down after reports of a failed medical.