"He is a quality act and we are interested and I'm sure other people will be as well," Megson said. "We have spoken to them [Sporting] but that is all it is.
"He certainly is expensive but that is not the issue. If it is a player we think will improve us and it is do-able we will try to do it."
However, Bolton may face stiff competition for Veloso's signature.
"It is important to notice that Bolton are not alone. Manchester City have already shown interest in him," Veloso's agent, Paulo Barbosa, said.
"Basically, what is happening now is that clubs are expecting to see what other clubs could offer, in order to make their own bid. "He [Veloso] is not allowed to talk too much now about this subject but he is looking forward to seeing clubs reaching an agreement.
"What may block the negotiations? Well if the bidders do not offer what Sporting Lisbon are looking at, for example. Probably, between today and tomorrow, there might be an outcome on this issue."
Meanwhile, Blackburn are steeling themselves to resist any last-ditch attempt by Manchester City to land Roque Santa Cruz before the transfer window closes.
Rovers have identified the striker as crucial to their campaign to stay in the Premier League and manager Sam Allardyce admits he cannot wait for the window to shut.
Blackburn have already knocked back a £15million bid and although City have not returned with an improved offer, their failure to land AC Milan forward Kaka has turned the spotlight back onto Santa Cruz.
However, Blackburn's own position has hardened after Allardyce told club chairman John Williams he has been unable to identify a ready-made replacement for the Paraguay star.
Allardyce, whose team face his old club Bolton on Wednesday, admitted there was still time for City to come back with another mega offer.
He said: "I wish the transfer window was shut, bolted, locked and the keys thrown away. But there's still a few days to go and I think there is a lot more panic around the football world, it's a now-or-never situation in terms of players coming in.
"I'm counting the days down in the hope that there is not a phone call saying one of my players may have to leave because the price you are getting is far too great to turn down. We will resist selling anyone if we can."
In terms of City and Santa Cruz, he added: "It has been very quiet I'm glad to say, but that's not to say it won't resurrect itself.
"We don't have to sell anybody and that's still the case as far as the chairman and me are concerned.
"I'm just trying to keep the distractions of the transfer window away from the players and make sure there is nothing in their minds apart from winning a football match for Blackburn."