Rose, 31, and Kelly sparked relationship rumours after they exchanged some PDA at the airport, reported People magazine.
During an interview about his new single and music video "A Little More", an audience member hinted at the whispers, asking Kelly, "Is there anything you want to confirm or dispel that the tabloids have put out right now?"
The rapper's response, "What are you talking about - with Amber?" clamming up a bit before coyly telling the cheering audience, "Ya'll know what's up!"
Kelly, 25, has earlier said, "Everything was completely natural; it wasn't anything that I had expected or had planned or anything like that. You know, when the universe throws something your way or things happen, I'm one of those people who goes with it, and I don't fight it."