Davies got the best out of the 22-year-old England striker during his time at Preston and has since been linked with a move for his services.
Nugent was dropped for Saturday's Premier League clash against Bolton following his £6million move from North End.
But Davies dismissed the speculation saying: "I'm not sure who is more surprised by this news, me or David Nugent.
"It's nothing more than speculation and the kind of mischief-making you get in the transfer window."