Bolton have won just seven of Megson's 32 games in charge and are currently four points adrift of the Premier League safety mark.
But a statement on the club's official website confirmed: "The story published in today's Independent newspaper under the headline 'Bolton to sack Megson' is without fact or foundation.
"Bolton Wanderers Football Club will be asking The Independent for a retraction in regards to this article."
A club spokesman added: "No-one from The Independent newspaper contacted the club at any point in connection with this story.
"Had they done so we would have been able to point out that it had no basis in fact whatsoever."