McGugan has been instrumental in Forest's charge up the Championship standings since Davies returned to the City Ground for a second spell in February.
He has netted five goals in as many games to help the Reds into the play-off places - including a 97th-minute penalty to rescue a 1-1 draw at Burnley on Easter Monday.
Davies has always been an admirer of McGugan's talents, and has played him regularly over the course of his two spells, but the Scot appreciates that you cannot always get what you want.
On the chances of the 24-year-old midfielder agreeing an extension to a deal which is due to expire in the summer, Davies said: "I have spoken to Lewis McGugan. He has scored five goals for us now. He showed tremendous courage with the penalty and he knows my feelings about him.
"We will remain focused on the remaining games, then we will sort out the things that need sorting in the future. I don't worry about losing players. They come and go.
"We make our intentions clear to players. When we want them to stay, we will offer them what we can, financially speaking. If they decide to move on to pastures new, I do not lose too much sleep about it. There are far too many players out there to worry about that.
"He knows my feelings, he knows my position and he knows how much he is wanted at this club."