The 23-year-old has made 52 league appearances for the Trotters - scoring four times - since arriving from Aston Villa in summer 2008, with his consistently solid form earning a call-up to Fabio Capello's England squad as cover for captain John Terry.
As a result, the stopper has been linked with moves to a string of high-profile outfits, including Arsenal, Manchester United, Tottenham Hotspur, Real Madrid, Barcelona, Juventus and AC Milan.
But Megson has insisted that the Reebok Stadium side do not need to sell their prize asset during the January transfer window.
And he warned that Cahill's sale could lead to a repeat of the 2007/08 campaign, when they sold talisman Nicolas Anelka to Chelsea mid-way through the campaign and only avoided relegation by a single point.
“This club got itself into a nightmare scenario over Gary,” he told the Bolton News.
“There was a set fee that he could have gone for. We did brilliantly in the summer to get rid of that and we're in a position now where we don't have to sell him. Football-wise it would be suicide to sell him in January.
“Selling real assets in January is a nightmare. We've been there before with Nicolas Anelka, didn't win in 10 games and escaped relegation only by the skin of our teeth in the last five games.”
