However, having cast his eye over the 31-year-old, Megson decided he was not the type of player needed at the current time.
Megson has also admitted he made an approach for Bullard last week but was priced out of a move after being told by Fulham that his valuation of the player did not meet their expectations.
Megson has moved on to other targets after deciding he did not want to pay what Fulham were asking for a midfielder they bought for £2.5 million from Wigan in 2006.
"Loads of agents have been offering him (Bullard). Players are supposed to have one agent, and I can tell you I've had five now saying they represent Jimmy Bullard," said Megson.
"I spoke to Alistair Mackintosh last week and got it from the horse's mouth what the position was.
"I mentioned a figure to him, and he said it wouldn't be acceptable - so we move on.
"There was no point on going any further because there was no common ground, and everything that is going around at the moment is untrue. We have moved on - that happened a week ago."
Of the decision not to sign Denilson, whose £21.5m transfer to Real Betis in 1998 was then a world record, Megson explained he does not think he could fit the player into his plans.
"It wasn't a trial, because that is a bit demeaning for a player of that class," said Megson.
"We got a call saying 'would we like to have a look at him?'. He wasn't fit, but his class and quality was there for all to see.
"But there are other parts of his game that we didn't feel we would be able to use to our advantage and would be able to complement everyone else.
"We have spoken with his people and said we won't be going any further.
"He is a fantastic person and didn't come here as a 'big time Charlie'. He mixed in with everyone else - and if anyone rang me up about giving him a reference he'd get nothing but positives."