Manchester United striker Cole, left behind at Euro 2000, has dropped veiled hints that there was more to it than a toe injury that kept him at home.
Cole has made an impressive start to the new campaign with United and looks certain to take over as main striker from the now internationally-retired Shearer in the friendly against World and Euro 2000 champions France next Saturday.
Keegan, who has started Cole twice in his seven England appearances which have yet to bring a goal, insists: "I have a really good relationship with him. I get on well with Andy.
"Some people might think that's not the case because I sold him from Newcastle and left him out of the squad for the European finals, but the fact is he was injured and I'm going to keep saying that because it is true.
Tell everybody
"Next week before the game with France I'd like Andy to get up and tell everybody about it himself and then, hopefully, that's the end of it."
Keegan, who is likely to play Liverpool's Steven Gerrard, 20, in midfield and Aston Villa's Gareth Barry, 19, in the perennial problem position of the left of defence, has been criticized for sticking with the players who flopped at the European Championships.
But he says: "I'm happy that I've got the best possible people around me and that goes for the backroom staff as well as the players.
"There seems to be a lot of doom and gloom about, but that's mainly in the press.
"I can understand the disappointment about Euro 2000 because we failed there and I take my own responsibilities for that but I can tell you that most people in the street are coming up and saying, `Never mind. You haven't got it right yet but keep going and you will'."
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