Mega menu option in Modern Site not available

I have an existing Classic SharePoint site and have changed it to new modern look, all it's pages, lists and libraries. 

Now I want to use the mega menu but can't see the option for mega menu.

Is it because site was earlier a classic site.

Please let me know if any of us have encountered this scenario. Also, refer the screen shot attached. I get this when I click on 'Change the Look'.

Thanks in advance.