Bolton Wanderers are furious over a potential security gaffe made by UEFA Cup opponents Atletico Madrid.
There are fears Bolton's programme could be interrupted and the British Embassy are investigating the incident.
Megson said: "This is very strange behaviour for a club of their status."
He added: "It obviously raises serious concerns regarding Bolton Wanderers players and staff ahead of this game."
The first leg, at the Reebok Stadium on 14 February, was a stormy encounter that saw Atletico's Sergio Aguero sent off for spitting before El Hadji Diouf scored to give Bolton a 1-0 win.