The 'Les Miserables' star, who is married to his 1990 film 'The Crossing' co-star Danielle, took to Twitter to set the record straight, reported Daily Mail.
"Dita Von Teese is brave, smart, sweet and elegant. She is a friend of mine. Who wouldn't want friends like that? Friends, not lovers," he posted on Twitter.
However, the 48-year-old New Zealand-born Australian actor later deleted his message, but a video of Monarchy Sound's 'Disintegration' featuring the sultry dancer remains intact on his feed.
The four-minute video is a montage of Von Teese in intimate poses and in various stages of dress and undress.
The rumours started when the two were spotted together at the Four Seasons Hotel in December and that they also enjoyed a couple's massage together.