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The Shrews manager Gary Peters was keen to sign the 23-year-old striker after missing on Liam Hatcch and Richard Walker but his bid to take the player to the West Country were thwarted by May himself, who turned down the move in the hope of sealing a transfer to a Championship club.
May has endured a long and painful season with The Lions, culminating in a loan spell with Scunthorpe United after he was singled out for criticism my the Millwall faithful and made a fleeting appearance during Saturday's FA Cup tie against Walsall after a spell on the sidelines due to injury.