Recent reports have claimed that Chelsea have fended off interest from Manchester duo City and United to sign the striker in the New Year.
But Bolton boss Megson has moved to play down rumours that the France international's departure from the Reebok Stadium is imminent.
"There seems to be an awful lot in the papers and in the media, which is probably to be expected because of the quality of Nic," said Megson on Sky Sports News.
"One or two things are getting in there that really shouldn't.
"There has been no contact to myself and there has been no contact to anybody who works above me either. We are just told what's in the press and carry on with what we're doing.
"We want to keep hold of all our players. We want to improve it. People come and people go, but at this moment there is nothing really to discuss other than what's in the papers."