"I was aware of Coventry's interest, but I'm more than happy with the job I'm doing with Steve," said Black. "One day I might want to return to management - I don't know if that will happen - but there's a big challenge here first."
Black was previously in charge of Coventry for five months at the end of the 2003-04 season, winning 12 and drawing four of his 26 matches, yet was still axed as the club brought in Peter Reid.
Black believes his departure was a blessing in disguise, adding: "I think I was unlucky to lose my job at Coventry.
"We were doing all right, averaging two points a game, but people have their choices and make decisions.
"It turned out to be a good thing because I went to Birmingham with Steve, and now I'm at Wigan."