The 42-year-old musician, who was arrested on suspicion of second-degree rape, was booked and released without being charged following arrest after White River Amphitheatre concert in Washington's Auburn, his lawyer and manager told USA Today.
Nelly wrote on Twitter that he was shocked he was being accused for a crime he did not commit.
"Let me say that I am beyond shocked that I have been targeted with this false allegation. I am completely innocent. I am confident that once the facts are looked at, it will be very clear that I am the victim of a false allegation," he posted.
"I assure you I will be vindicated. And I assure you, I will pursue every legal option to address this defaming claim. Thank you," Nelly wrote.
"To be absolutely clear. I have not been charged with a crime therefore no bail was required. I was released, pending further investigation," he added.
The city's police department received a call from a woman early yesterday to report that she was "sexually assaulted by a male, who is known as the rapper Nelly".