The Eagles manager loves nothing more than beating the Owls after his time in charge of their city rivals United, but his team rarely looked like managing the feat.
Palace have now scored just two goals in their five home league matches and Wednesday keeper Lee Grant was not forced into a single significant save in 90 minutes where both defences were generally in control.
The Owls did have the best scoring chances, and twice went close to breaking the deadlock after the break.
Leon Clarke forced Palace keeper Julian Speroni to palm away his left-foot strike in the 49th minute and Danny Butterfield cleared substitute Marcus Tudgay's shot off the line 20 minutes later.
Clarke also slammed a shot narrowly over the bar just before the half-time whistle, with the Eagles fuming that they were not awarded a foul on Alassane N'Diaye before the Wednesday striker raced from the halfway line into the home penalty area.
Palace's best spell in the match came in the opening 12 minutes - but they frittered away four chances in that period.
First Paddy McCarthy fired Darren Ambrose's low corner over the bar after six minutes and then the latter completely miskicked Victor Moses' inviting cross from the right.
Palace's wastefulness continued as Moses latched onto a Lee flick to get behind the Wednesday defence but he produced a wild finish before the pair switched roles, the young forward's fine pass created a shooting chance for his more experienced striker but he steered his effort past Grant's right post.
The Eagles ran out of attacking ideas in the second 45 minutes but Neil Danns' volley looked like it would test Grant before it deflected off Lee and wide of the target.