Megson is available following his sacking by Sheffield Wednesday on February 29 and the Daily Mirror suggested on Thursday he could be appointed at Molineux.
Wolves promoted Terry Connor to replace Mick McCarthy until the end of the season but the former assistant has collected only one point from three games.
Back-to-back defeats at the hands of Fulham and Blackburn leave Wolves in 19th place, one point adrift of safety with 10 games remaining.
Despite suggestions that Megson's success in keeping Bolton in the Premier League in 2008 has made him a target, Wolves quickly denied the rumours on Thursday morning.
The club's official account tweeted: "No truth in today's Gary Megson story at all."