The former England international, who turned 36 on Tuesday, is out of contract in the summer and he has been told he will not be offered an extension by the npower Championship outfit. Davies, who has made over 400 appearances and scored 84 goals during a 10-year spell at Bolton, admits he has been taken aback by the news as he had hoped to finish his career at the Reebok Stadium.
He told talkSPORT: "It was a bit of a shock. I was shocked at the time and it's not quite sunk in yet, but these things happen. I've had clubs come in for me down the years but always turned them away because I've been so happy here. I always wanted to stay here and finish my career here, and hoped to go into a coaching role."
He added: "That's maybe why it's shocked me so much."
The former Blackburn and Southampton striker, who will look at the possibility of going out on loan in the next few days, insists he has no intention of hanging up his boots yet, however.
"I've had a few clubs come in for me so I'm not going to start panicking about retiring just yet. I want to carry on for at least a couple more years yet. It hurts right now, but hopefully by the end of this season I'll have a new challenge ahead of me," he said.
Davies also revealed his contract runs out just before he is due a testimonial at Boston, and he added: "It would have been nice to have one as a thank you for what I've done.
"I was aware when I signed (a new deal) last year it was running short, and the club said they might extend it for a week or two (to get to the testimonial) but I don't think that will happen.
"Right now it's difficult for me to take but I need to keep my head up. It's going to be hard to try to keep involved, but I just have to try my best."
Bolton manager Dougie Freedman told the club's official website: "Kevin Davies is and always will be a Wanderers legend. I want to be fair to him as regards his future, as he deserves it. This decision means that he is now free to sort himself out with a new club in plenty of time for next season."
Source: PA
Source: PA