The coelacanth was erroneously thought to be extinct so, much like my faith in humanity, the megolodon may indeed still be alive despite a lack of credible evidence.
My guess is megalodon hasn't been directly observed by humans because Cthulhu lured it to R'lyeh for purposes of companionship eons ago, possibly to rend other beings as entertainment, or perhaps to act as a bridge partner.
The point is that without hard evidence, it's all speculation.