The France striker has been linked with a transfer-window move to Avram Grant's Blues and also his former club Manchester City, and Megson revealed he already has contingency plans in place should the 28-year-old leave.
"I don't have to sell anybody to bring people in and there haven't been any offers for Nicolas Anelka," Megson said in the Daily Express.
"But there is no point in Nicolas coming out and saying he will stay here because if Real Madrid suddenly offer to pay him £25million a year, that changes everything.
"We have got a list of players we would like to bring in, though, and we have contingency plans for every position.
"We do know the players we would like to bring in if certain things happen. However, the timescale depends on whether a certain person is allowed to leave us."
Megson believes the chances of Anelka - who signed a new four-year contract earlier this season - departing could depend on the "domino effect" of other January activity, such as Dimitar Berbatov quitting Tottenham.
"Will Berbatov moving have a big impact on the transfer market?" Megson reasoned.
"Well, somebody, somewhere will do a big deal and once that happens it can set off a domino effect.
"At the moment, people will be saying certain players are not available.
"But once they start doing business elsewhere it tends to have a knock-on effect."