The 27 year old Senegal international announced at the end of last season that he was quitting the Reebok Stadium, regardless of whether or not the Trotters stayed in the Premier League.
"Everything that has been said about El-Hadji has come from him," Megson told the Bolton News.
"It was him who claimed he wasn't staying and him that did a solo lap of the ground as a farewell to fans in the final home game.
"He needs to sort out what he wants to do and then take it from there. You can't always do what we would like to, and when El-Hadji came out and said he would be leaving regardless of whether we go down or stay up, he still needed somewhere to go to. That hasn't happened yet."
Diouf has one year left on his current contract, having signed from Liverpool in 2005.
Megson added: "He is a terrific talent and I'd be delighted if he did a U-turn and said he wanted to stay here.
"I'd like him to stay but he has got to realise that he is part of a squad and he has got to focus on what is best for Bolton, as everyone does."