The Nigeria striker was filmed arriving at QPR's stadium in West London, telling Sky Sports News that he was to begin "a new chapter" in his career.
Odemwingie told Sky: "It's fine. West Brom was my home but this is a new chapter. I love West Brom and always will.
"I am optimistic. A few good players have arrived here [at QPR] and I am happy with the trust Harry Redknapp has in me.
"The last few results have given us a chance to stay up. I don't think the owners will bring in so many players if they don't think it will happen.
"I hope West Brom are happy with what they will get and they hope to get players themselves."
However, Albion quickly retorted with statement on their website which said no deal had in fact been reached.
The Baggies wanted a loan of Junior Hoilett as part of any deal, and the transfer collapsed, leaving Odemwingie facing some awkward moments in training tomorrow.
The 31-year-old upset fans this week with a Twitter tirade after a second QPR bid was turned down by West Brom. He was fined two weeks' wages over the outburst.
Odemwingie joined WBA in 2010 and signed an improved three-year contract at the start of the 2011-12 season after the club turned down a £4 million offer from Wigan.
Earlier, Chris Samba joined Rangers in a club record deal worth a reported £12.5 million - and agreed on a contract worth around £100,000 per week.
The 28-year-old centre back signed a 4-1/2 year contract and will be free to join QPR's survival campaign once receiving international clearance.
Samba, a Congo international with 26 caps, spent five years in England with Blackburn Rovers from 2007-2012 and joined Rangers after an 11-month stint at Russian club Anzhi.
"My reason for leaving is to be closer to my family and my 2 little boys," The defender tweeted. "Now I'm excited to joins the new teammates and try to help the club remain in the league and more."
QPR manager Harry Redknapp said on the club website: "This is an unbelievable signing.
"(Chairman) Tony Fernandes deserves a lot of credit for this one - he has worked so hard on bringing him in.
"Chris is just what we need. He's a monster. Great in the air, quick, a leader, strong, fantastic in both boxes, hard as nails. He's a proper centre half."
Samba, who made 23 appearances for the Russian club after signing last February, is a direct replacement for the departing Ryan Nelsen who was named head coach of Major League Soccer club Toronto this month.
"I know what is going on with the project here. There is a very important fan base here - I've played at Loftus Road before and it's fantastic," said Samba. "I wouldn't be here if I didn't believe we could get out of trouble."
QPR also signed Jermaine Jenas from Tottenham on an 18-month deal, and secured Andros Townsend on loan from the same club for the rest of the season.
Jenas, a former England international, has been out of the picture at Spurs and the 29-year-old has spent time on loan at Aston Villa and Nottingham Forest in the last two seasons.
He is reunited with Redknapp after working under at Tottenham.
"The fact that Harry Redknapp was here was a big factor.
There's a big challenge ahead of us in staying in league and I want to be part of it," Jenas told Sky Sports.
"There's no time to waste in this situation, so we need to hit the ground running, starting on Saturday with a win."
QPR, who play Norwich City on Saturday, are bottom of the Premier League with 16 points from 24 games.