Megson said: "He came in on Friday morning and we had 10 minutes together. I told him I didn't want him to go but I suppose it was a bit late by then.
"I said what I would like him to do is to score against everybody else who is down in a similar position to us in the league. He said he would do that, so hopefully now he'll be true to his word.
"I saw it as a fait accompli maybe 48 hours ago. We hoped he'd say 'no' and stay but it was purely a football decision. They can offer Champions League football and he fancied the challenge."
Megson insists he has already found the short-term replacement for Anelka in the Bolton forward line - Kevin Davies.
Davies will start against his old club Blackburn in the Lancashire derby at the Reebok tomorrow.
And Megson said: "We will not be able to replace Nicolas like for like - that's why Chelsea have paid so much money for him.
"We have been looking at players and what we will now do is firm up our interest in certainly one centre-forward.
"We already have a good one in Kevin Davies who has been playing wide right for us. They are different types of players but Kevin has some qualities that maybe Nicolas didn't have and he'd get in most Premier League teams."