The 36-year-old had a 10-year playing spell at the Reebok Stadium, which was brought to an end during the summer when he joined Preston North End on a free transfer.
His son has remained with Bolton, although Mills, who was recently appointed to the Football Association's commission, has claimed that without Davies, he would not have been given a place.
"I spoke to Kevin Davies last night. His lad is in the Bolton academy - he's not particularly good enough, but Kevin has used his influence to get him in there," Mills told BBC Sport. "He has said that he's come on leaps and bounds because the standard of coaching is far better than at youth level."
Davies made 407 appearances for Wanderers, scoring 85 goals in the process.