The Nigerian defender had been linked with the Blades over a possible loan move in the last two days, but according to the Bolton manager the defender didn't wish to leave.
"I spoke to Sam Ellis (United assistant manager) a few times and it was put to Danny he could go there if he wanted for a month's football and could have played six games," Megson told Sky Sports.
"I felt it would have been good for everybody, but Danny didn't want to - which is his prerogative - so he has not gone."
In the Blades-Mad report two days ago we announced that Newcastle United and Ipswich Town were also interested in signing the Premiership defender; he could possibly soon move to neither one of those clubs instead!