Bolton sacked Megson on Wednesday following a 2-2 home draw with Hull City and have already been linked with the likes of Stoke assistant Peter Reid, former Wigan manager Paul Jewell and even former Italy goalkeeper Walter Zenga.
Coyle has also been mentioned as a possible contender and he already boasts a strong bond with the club having won promotion to the Premier League with Bolton as a player in the 1994-95 season.
But the Burnley boss, who has also been linked with the Celtic and Scotland jobs in the past six months, insists he is entirely focused on the challenges ahead at Turf Moor, starting with the FA Cup third round tie against MK Dons on January 2.
"It is a fantastic job for someone out there but my focus is on doing the best against MK Dons this weekend," said Coyle. "I have had speculation time and time again but, as always, I am concentrating on the job in hand.
"I love being at this football club and I have shown that. I feel very privileged to be manager of a wonderful football club here. I've always said I enjoy being at the football club, I enjoy my work and coming through the door every morning.
"I think the players enjoy working for me, the fans like coming and we are trying to build something at the football club."
Hull boss Phil Brown also has no interest in succeeding Megson as the manager of Bolton. Brown has strong links to Bolton having captained the side and later served as assistant manager under Sam Allardyce. He even had a short spell as Trotters caretaker manager in 1999.
The 50-year-old has had his own problems at Hull this season - he was reported to be just one bad result away from the sack two months ago - but he insists he is not tempted to move on, even to a club close to his heart.
Brown, whose main home is still in Bolton, said: "I think that has an inevitable ring to it, with the fact I had 15 years there as a player, coach and manager. But I have got a massive job here and I fully intend to finish it. Speculation will always be the case where I am concerned but I have got a big job here.''
Meanwhile, another former Bolton hero, Sam Allardyce, whose achievements with the club cast a shadow over both his successor Sammy Lee and then Megson, believes a lack of support from the stands meant that Megson's position was always in jeopardy.
"Unfortunately for Gary, the fans wouldn't quite take to him - they didn't quite endear themselves to him and they always felt there was something they disagreed with, no matter what he seemed to do," Allardyce said. "I always think that's a very unfortunate situation because in the end, if your fans decide that they don't like you then you've got very little chance of keeping your job, no matter how good you are.
"I think the fans definitely are a factor in whether the manager stays or goes. Inevitably, if the fans continue to be disgruntled it will always have an effect on bosses and whether it helps you stay in a job."