Megson was placed in temporary charge of West Brom in the aftermath of Tony Pulis' sacking, but was not retained by new boss Alan Pardew.
Already, Megson has found himself linked with the vacant Hull position, while several Wednesday supporters have called for the 58-year-old, who spent 12 months in charge of the Owls earlier this decade, to replace struggling their boss Carlos Carvalhal.
And speaking on this week's The Ref Show, Megson confirmed his desire to return to management, insisting: "I’ve got a lot to offer a football club."
Asked about the links with Hull, he said: "It was an entertaining game but I’m going just for keeping my hand in.
"I watch games basically looking at players, looking at how the opposition’s going to play, looking at other teams. I didn’t go the other day because I’m a (Sheffield Wednesday) supporter, I went the other day because I would like to get back into football and I want to know what’s going on around the place."
Megson added: "Yeah (I’ve got a taste for it). What you do miss is the day-to-day stuff, in terms of being in the dressing room, out on the training pitch and having a bit of banter and a laugh with the players.
"Also the work that you do in terms of coaching. It is like riding a bike, the first day you’re apprehensive but then everything you’ve done in the past comes straight back to you.
"It has whetted my appetite."
Megson has been out of full-time management since he was sacked by Sheffield Wednesday, then third in League One, in February 2012.
However, the former West Brom boss reiterated that he was offered two opportunities to return to the game within 12 months of his Hillsborough departure, only to be prevented from doing so after being placed on gardening leave by the Owls.
Should Hull / Sheffield Wednesday consider Megson?