Earlier reports suggested that the couple had parted ways after they did not interact with each other on Twitter for over three weeks, reported Hello magazine.
Warne had denied split reports in a previous tweet, saying they were not calling it off.
"Some of the reports regarding Elizabeth Hurley and me are absolute rubbish. Yes we're sorting through some (private) issues. But we're not throwing the towel in yet."
It is now believed that the duo have quietly called off their engagement.
Instead of celebrating Christmas together as planned, Elizabeth, 48, will reportedly be spending it with her 11-year-old son Damian at Donnington Hall in Herefordshire - the new family home she and Shane had bought together.
Shane will apparently be in his native Australia with his three children.