But the 47-year-old insists he only met with the Clarets' officials for more experience rather than expecting a switch to the Championship.
Davis, who admitted he was curious to find out what a club at the next level expected, is yet to agree new terms with the Alex and is still working on a rolling contract basis.
"I was asked at the meet the manager night if I had gone for an interview at Burnley and I said yes. I did go. I was given permission by the club to go and meet them," he told the club's official website. "I went for the experience more than anything.
"I have never gone through an interview as such and I wanted that experience to be sat there opposite three guys, talking about what they would expect and their plans. It was good and I enjoyed the experience.
"It was never my intention to leave here at all. I have always said that I will try and take Crewe as far as I can and I am very happy here. I wasn't going to go back on my word because I feel as though I am at the right club at the right stage of my career."