The Mirror says Megson tried hard to persuade the Germans to part with their powerful target man, but Hertha supremo Dietmar Hoeness turned away the Premier League strugglers by demanding a big fee.
Pantelic has banged in nine goals for the German outfit this season and was Bolton's most-wanted before the window shut.
The much-travelled forward is still on Megson's radar for next season - if Bolton stay up - but the Germans will demand big money next time too.
A Hertha source said: "Bolton asked for Marko on loan first - we thought it was a joke - but at the end they offered us good money and a player. But we still said no."
Bolton were prepared to let Swiss starlet Blerim Dzeimaili go in part-exchange.