Sunderland chief Martin O'Neill made a cheeky bid to land the 35-year-old striker in the final days of the transfer window.
Coyle said: "Kevin Davies will run through a brick wall for this club. He's come back in a rich vein of form.
"There was interest but it was in the Press before it came to my attention.
"But I said to Kevin he's a huge part of what we're doing. I didn't want him to leave and he knew that. That was the end of it.
"But with it being the January window, stories get dragged on but it was never ever considered that we'd let him go.
"I speak to him daily. He knows the esteem in which I hold him."