The 40-year-old recalled how she was being romantically linked with the Coldplay singer in 2002 before they had even met, reported Sun Online.
Then Martin made a joke about it onstage at a gig and suddenly the rumour-mill went into overdrive.
"It's funny because people had started writing that we were going out and we had never even met. And then he was in Los Angeles doing a concert and an actress that he had a crush on was supposed to come to the concert. When she didn't show up, he was so annoyed that he said, 'Oh, this is for my girlfriend Gwyneth Paltrow.'
Confirming that they first met at a Coldplay gig in London, Paltrow added, "Because they had written so much in the Press, his assistant came to my seat at the concert. They said, 'This is so crazy, but will you come back and say hello afterwards?' And that was it."
The couple got married just over a year later in December 2003 and now have a daughter Apple, eight, and seven-year-old son, Moses.