It is nearly two months since Anelka left Bolton to join Chelsea for £15million, and he comfortably remains the club's top scorer this season with 11 goals.
The loss of France striker Anelka has obviously had an impact, but Megson believes the players who remain must learn to live without his presence.
"We miss Nicolas, like any team would," admitted Megson, ahead of his side's UEFA Cup last-16 tie with Sporting Lisbon at the Reebok Stadium on Thursday.
"He is a fantastic talent, but then we've had decent results since he left.
"Everybody told us how well we did against Atletico Madrid in the last round of the UEFA Cup, and Nic wasn't with us.
"We won our first away game at Reading and we got our first clean sheet away at Newcastle. Nic wasn't with us then either.
"He gave us a lot of things, more than just his goals, but he has gone. We've had to accept it, and we have.
"We have got on with life without him. He is a Chelsea player now, and has done well for them."