The former Wanderers midfielder has drawn parallels with the way he and John Barnes were put under immense pressure from the terraces at Tranmere Rovers with Megson finally getting the boot at Bolton.
The former Liverpool duo were eventually sacked by Rovers in October after a turbulent five months in which the Prenton Park outfit won just twice in 11 league games.
"It is disappointing," McAteer told the Bolton News. "It is never nice when a manager gets the sack but it is fan power again.
"They made it well known about their disappointment with the manager and he has lost his job. Fan power is dangerous - me and John Barnes experienced it at Tranmere.
"Neither of us were the fans' first choice and it is the same at Bolton. I think there was a poll that showed only 1 per cent wanted him in at Bolton to replace Sammy Lee but fans have to realise where the football club is at.
"Gary has steadied the wage bill, he changed the way Bolton were playing and he brought different players in.
"Unfortunately he couldn't bring the success Sam Allardyce had in the past and he lost his job because of it.
"Management is a brutal business. Managers aren't given a chance these days and it makes you wonder why you should go into management because, unless you have had instant success, you don't stand a chance."