Gossip site Celebrity Dirty Laundry claimed in the summer that the pair had been in a "serious relationship" for some time, after Anderson split from partner Mark Griffiths.
Duchovny's representative denied the rumours at the time, but Anderson confirmed in an interview with the Guardian that the pair were never romantically involved.
The 44-year-old said: "No, there wasn't any truth in that. I was enjoying the ludicracy [sic] of it for a while, but then he started denying it publicly and so I lost all my enjoyment of it."
When told that she had potentially broken the hearts of X-Files fans who had always hoped for their characters Mulder and Scully to get together, she replied "I know", then joked: "I emailed him at one point and said: 'You left the toilet seat up again'."
Anderson can be seen in the film Sister, released in UK cinemas this week, and her voice will also be heard in the English dub of Studio Ghibli animation From Up on Poppy Hill.
