The 31-year-old is a free agent and Megson said: "An agent called one of our staff up and asked if we would like to look at Denilson. It doesn't cost us anything and it's an opportunity for the lad and an opportunity for ourselves to see one of the world's best players - albeit of a few years ago - and see how he is now."
He added: "He won the World Cup and was part of a fantastic team but it's about the here and now.
"It's purely and simply about him coming here for us to have a look at him and for him to try and get a contract."
Bolton have also been linked with a move for Zenit St Petersburg centre-back Sebastien Puygrenier in a loan deal with a view to a permanent transfer.
According to reports, Puygrenier's agent Michael Manuello is in talks with Bolton.
The French centre-half is under contract with Zenit until 2012, and is understood to be excited about a potential move to the Reebok Stadium.
Megson could also sign West Ham defender Calum Davenport, 26, in a £3 million transfer but admitted he is also pursuing other targets.
Megson said: "We've got an agreement with West Ham but we're also looking at other players in that position.
"We've also got another player that we're close to coming to an agreement with, so it's decision time.
"We may get accused of messing somebody about but we've got to do what's right for the football club. It still may happen that Calum joins Bolton but we'll need another 24 hours before we decide what we're going to do."