Hull claimed to have had a bid in excess of £2million rejected by Bolton for the 31-year-old striker.
Megson is unaware of any firm bid from Hull but confirmed they had asked about the veteran.
Megson said: "I don't know because I've asked Phil (Gartside, Bolton chairman) and he's not aware of it, and I'm not aware of it. I presume it is our Kevin Davies.
"We've not had anything other than a conversation a month ago of, 'you wouldn't sell Kevin would you?'
"'No'. End of story."
Megson confirmed that Davies has been discussing a new deal at the Reebok Stadium and expects it to be finalised this weekend.
He said: "Kevin, I believe, in the next 24 to 48 hours will be signing a new deal to put another year on to his contract, hopefully.
"We've been discussing that for probably the last six weeks."




