He said: "It's been going on for so long, and Nicolas is probably more used to it than most players in the country, I suppose.
"But from my own point of view, it becomes normal, actually, because all it is is speculation.
"I would tell you if a club had actually come on to me, or if the chairman told me a club had come on to him.
"I would tell you because there is no point hiding the fact. But at the moment it just seems to be things that are in the papers and in the media that you have to cope with.
"But I think most people will be in the same boat."
Megson now finds his side level on points with the Black Cats - who dragged themselves out of the relegation zone with just their second win in 14 games - and will look to strengthen his squad during the January transfer window.
However, he admitted his activity may be largely governed by what happens with Anelka.
"If Nic isn't of the same opinion, then we will have to deal with that as and when.
"But we are not at that point yet."