Megson was speaking after Bolton's 3-2 home win over Tottenham.
On Friday Bolton sold long-serving midfielder Kevin Nolan to Newcastle for £4m.
A holding midfielder, Veloso was a member of Benfica's youth academy, before he switched to Sporting at the age of 14.
He has seven caps for Portugal, and in the past was frequently linked with a move to Manchester United when Carlos Queiroz was Sir Alex Ferguson's assistant.
Veloso's father Antonio is a former Portugal international defender.
The winter transfer window is due to close on Monday 2 February at 1700 GMT.
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