Davies, who has represented England, has been told that he will no longer be required by the Championship side after his current deal runs out.
The 36-year-old, who has more than 400 appearances and 84 goals to his name from a 10-year spell at Bolton, says he has been left stunned by the news.
“It was a bit of a shock. I was shocked at the time and it's not quite sunk in yet, but these things happen,” Davies told talkSPORT.
“I've had clubs come in for me down the years but always turned them away because I've been so happy here. I always wanted to stay here and finish my career here, and hoped to go into a coaching role. That's maybe why it's shocked me so much.”
Davies is now expected to look into the possibility of going out on loan in the next few days, and says that he has no desire to retire despite the snub.
“I've had a few clubs come in for me so I'm not going to start panicking about retiring just yet. I want to carry on for at least a couple more years yet,” he said.
“It hurts right now, but hopefully by the end of this season I'll have a new challenge ahead of me.”
Davies also revealed that his contract runs out just before he is due a testimonial at Bolton, although the Bolton News report that the striker could still get one if he requests it from the club.
He said: “It would have been nice to have one as a thank you for what I've done.
“I was aware when I signed (a new deal) last year it was running short, and the club said they might extend it for a week or two [to get to the testimonial] but I don't think that will happen.
“Right now it's difficult for me to take but I need to keep my head up. It's going to be hard to try to keep involved, but I just have to try my best.”
Bolton boss Dougie Freedman told the club's official website: 'Kevin Davies is and always will be a Wanderers legend.
“I want to be fair to him as regards his future, as he deserves it. This decision means that he is now free to sort himself out with a new club in plenty of time for next season.”
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