Recent reports had suggested that the Trotters boss had spoken to West Ham manager Sam Allardyce about a potential deal for the out-of-favour striker.
"Kevin Davies is my captain and a big part of our plans, as he always has been," said Coyle. "Aside from his footballing abilities, Kevin is an outstanding man.
"He is a leader and a bit of speculation doesn't change that.
"There is nothing factual in the West Ham link. I have had no dialogue with Sam."
Davies has made over 300 appearances for Bolton since his move from Southampton in 2003.