Sherwood and Arsenal hero Paul Merson were discussing City's transfer spending this month during last night's win against Chelsea.
"They seem to be the only team who can spend money, and they've got 115 (charges) over their head," Sherwood said.
Merson replied: "Do you think, Tim, they know they’re gonna get a transfer embargo?"
Sherwood then said, "Perhaps yeah, they must know something."
Merson added, "If you give Haaland a nine-year contract you’re thinking this could be a two, three, four-year transfer embargo."
Sherwood then went on: "These players they’ve brought in are certainly for now and the future. They’re trying to build for the future, they made a mistake by not buying in the summer. I think they’ve realised that, it’s obviously brilliant in hindsight, we’ve all got a degree in that.
'Any player who plays in the forward end of the pitch wants to play for Pep Guardiola, and that’s certainly an exceptional pull for any player, so I don’t think they’ve finished (spending) no.
"If there’s players available they will go and get them, even if they have to pay over the top, they don’t care. Man City make their own rules up."
Speaking after an advertising break, host Simon Thomas said: "Welcome back, before we get underway, the whistles going around the country, we had a conversation earlier today in the build up about Manchester City, their transfer business.
"There was a comment made about Man City and the rules. I just want to say that they are absolutely not the views of Sky Sports and we apologise to Manchester City for those comments."