Gossip website CelebDirtyLaundry.com sparked the speculation in August (12) after reporting the former colleagues were "in a serious relationship" following Anderson's split from longtime boyfriend Mark Griffiths.
A spokesperson for Duchovny moved swiftly to deny the allegation, but now Anderson admits she had been enjoying the rumour.
Addressing the reports, she tells Britain's Guardian newspaper, "You mean me and David, romantically? 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.
"I emailed him at one point and said, 'You left the toilet seat up again.'"
Duchovny has been single since separating from his wife Tea Leoni for a second time last year (11).