"All I know is that there was an approach from Bolton and the chairman has turned it down," Megson told the Daily Star. "It seems to be the club that is talking, but, from my point of view, I'll just keep doing the job here.
"The chairman has been fine. We were trying to get players in on Friday and the other club wasn't mentioned."
Megson also admitted he was flattered to be linked with a move to Bolton after claiming a smear campaign kept out of work before taking over at Leicester last month.
The former West Brom and Nottingham Forest manager believes a former employer's vendetta kept him out of the game for 18 months before his move to The Walkers Stadium.
"Everybody now knows that I wasn't out of work for football reasons. I've got a record as good as most," continued Megson. "I found it very surprising that it took me so long to get back in.
"I've not been working because somebody has been putting poison down for me. Now I'm back in the game and that can no longer cause problems.
"I don't know whether my reputation is being restored because that's not what I'm in it for.
"It's just one of those things that another club has shown interest when I've just been appointed somewhere."