"It is something and nothing. We will just keep going and try to deal with the speculation that surrounds him."
Megson was delighted the way Anelka applied himself, even though he failed to add to his tally against the Rams.
It was left to substitute Stelios Giannakopoulos to snatch a stoppage-time winner to stun the league's bottom club.
"I was really pleased with Nic. He has not scored but he worked really hard for us," added Megson. "With five minutes to go he was chasing a ball that he lost himself.
"We have played badly but got away with it. Stelios has a knack of getting a goal.
"I thought a lot of the players looked as though they had played four games in a short space of time. At times we were running on empty and looked tired."