"It's funny, they come into my life a lot," Fanning, 22, said of the famous sisters, noting that she is a fan of their movies and that they attended the same high school in different years.
"I love Full House, of course!" Fanning said about twins Mary-Kate and Ashley. "I watched all their movies that they made. We all went to the same high school at different times, and I'm friends with their younger sister."
There's also a man Fanning runs into on a regular basis who is convinced she belongs to the famous family.
"There's a man that lives -- well, I don't know where he lives -- but he stands on my corner in New York where my apartment is, and he always would say to me, 'Hey Olsen! Hey Olsen!" she said.
"I would just keep going," Fanning continued, "because then I'm the crazy person that's like, 'I'm not an Olsen!' I didn't want to engage."