Megson endured a bittersweet 90 minutes during their 1-1 draw at West Brom on Saturday.
First the Trotters boss received a warm applause around the ground, having enjoyed two promotions with the Baggies during his spell as manager, and things got better when Matty Taylor gave his current club a 67th-minute lead.
But that was a good as it got for Megson as first, Albion equalised from Danny Shittu's 82nd minute own goal and then the Bolton boss was sent to the stands with minutes remaining.
Win claim"We should have won that game. We've had a lot more opportunities than they have," Megson said. "(Scott) Carson, in West Brom's goal has been a lot busier than Jussi (Jaaskelainen).
"They haven't had a shot on target throughout the 90 minutes and even the goal they scored from was going wide until it hits Danny on the thigh."
Megson was dismissed by referee Howard Webb in injury time after venting his anger to the fourth official, who told him to wait to bring on substitute Ebi Smolarek.
"I got the hump and lost my head a bit and I've been sent off," Megson confirmed.
"I have apologised to Howard Webb. I shouldn't be like that but you get carried away."