He managed the Sky Blues for six months four years ago before being unceremoniously dumped at the end of the season in favour of Peter Reid.
"I was aware of Coventry's interest but I'm more than happy with the job I'm doing with Steve," he told the Wigan Observer.
"One day I might want to return to management - I don't know if that will happen - but there's a big challenge here first.
"I think I was unlucky to lose my job at Coventry. We were doing all right, averaging two points a game, but people have their choices and make decisions.
"It turned out to be a good thing because I went to Birmingham with Steve and now I'm at Wigan."