Davies is available on a free transfer after being released by Bolton and he played under Coyle during his time at the Reebok Stadium.
However, at his official unveiling as the new Wigan manager, Coyle ruled out the prospect of a reunion with the 36-year-old this summer.
"Kevin was my skipper and an outstanding player," said Coyle. "It would be remiss of me to mention individual players but he is a good lad.
"I think there is a bit of interest in Kevin but it is probably not what we are looking to bring into the football club although he is an outstanding man."
Davies has been linked with a move to fellow Championship side Sheffield Wednesday and the one-cap England international is open to the prospect of a deal at Hillsborough.
He said in The Star: "When I was younger, I supported Sheffield United but my father supported Wednesday, so we were pretty split as a family.
"Everyone's different, of course, but if it's a club that appeals to you - the manager, the fans and the team - I would have to look at it. If an offer does come then I'll give it serious consideration."
Meanwhile, Coyle accepts one of his first tasks may be to stave off interest from other clubs in Latics' better players.
Midfielder James McCarthy, and forwards Callum McManaman and Arouna Kone have been the subject of speculation, while Maynor Figueroa has already left for Hull on a free transfer.
Coyle said: "We don't, as a football club, want to sell anybody or have to sell anybody but we understand how football works and when you have got very talented players there will always be interest. That just goes part and parcel with the game."