The reigning American League MVP addressed the issue Wednesday with reporters at spring training in Tampa, Fla.
"That did not happen," he said when asked about comments by former major league pitcher John Rocker about when Rocker and Rodriguez were with the Texas Rangers.
"Obviously I want to win a world championship -- that's the only thing that I really care about," Rodriguez said.
Last season, he batted .314 with 54 home runs and 156 RBI.
His 518 career homer total is 238 short of the 756 hit by all-time leader Barry Bonds.
Rodriguez returned to the Yankees after agreeing to a 10-year, $275 million contract.
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