Spurs are said to be showing an interest in the talented central defender and reports have claimed they are ready to launch a big-money move when the transfer window opens again.
However, Megson says he has no intention of selling after getting the player tied down to a new deal that no longer includes a release clause allowing him to leave for £8million.
"Football-wise it would be suicide to sell him in January," Megson revealed. "This club got itself into a nightmare scenario over Gary.
"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."
Wanderers appear to have learnt their lesson after selling Nicolas Anelka in January 2008, a move that nearly resulted in the club being relegated as the goals dried up.