People.com: While speaking to PEOPLE about his latest charitable efforts, Yankees star Alex Rodriguez commented for the first time on his relationship with Madonna.

"We're friends," Rodriguez, 33, says.

Asked if there is any romance between them at all, Rodriguez reiterates, "We're friends - that's it."

While rumors have swirled that the slugger and the singer, 50, have been carrying on a romantic relationship and flying around the country in order to spend time together, "I can tell you this," Rodriguez says, "I have never been on a plane with her."

He also finds much of what's been written about them laughable: "I've been to two [of her] concerts, yet I've read that I went to 20. I've also read that we were buying an apartment together. That is absolutely ridiculous and not true."

"You have to have a sense of humor when it comes to this stuff," Rodriguez adds.

When pressed on how much time they have spent together, and whether he had ever stayed the night at Madonna's home, Rodriguez laughed: "If I answered every rumor we'd be here for three weeks."

(A source close to Rodriguez tells PEOPLE that reports of his spending the night with Madonna are "completely, unequivocably false.")

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