The 23-year old has attracted plenty of interest recently with his performances for the Trotters and has been loosely linked with a big-money move away from the club.
But Megson said it would be 'suicide' to sell Cahill and is confident the club can do enough to retain his services.
"Anything now would involve three parties - Gary, the club that wants him, and most of all this club," said Megson.
"Although there are two (transfer) windows, the one in January is a market only for people with lots and lots of money because you have to pay way over the odds.
"Obviously you can make a few quid if you've got one of those players other clubs are prepared to pay over the odds for. But I'm sure we won't be doing that.
"Football-wise I would never sell him, but it's not all just about football.
"I don't make the decision on finance, but we now don't have to sell him for financial reasons, and we won't do."