His comments come after a source told ET the two are 'working things out.'
The 45-year-old former New York Yankee was spotted going into his Coral Gables gym in Florida on Saturday, when he was asked about his current relationship status with Lopez. As he was walking into the location, a photographer asked A-Rod if he was single.
"I'm not single," the athlete-turned-businessman replied in a video obtained by TMZ. He is also seen on the phone and leaving the gym. As he's bombarded by paparazzi, he tells the caller that he would call them back and calls them "baby."
When asked if it was J.Lo, he laughs and nods his head.
Rodriguez's comments come hours after a source told ET that he and the Hustlers star "remain a couple."
"Like any relationship, they have ups and downs and are working through things," the source said. "There is no third party involved. She's currently working in the Dominican Republic and he is working in Miami."
Multiple sources previously confirmed to ET on Friday that the two called off their engagement and split after four years. J.Lo and A-Rod got engaged in March 2019 after two years of dating. They later postponed their wedding amid the coronavirus pandemic.
Rumors about the couple surfaced earlier this year when reports claimed Rodriguez had been talking to Southern Charm star Madison LeCroy. Speculation first swirled during Southern Charm's reunion episode, when Craig Conover accused LeCroy of flying "to Miami to f**k an ex-MLB player." LeCroy immediately denied doing so. She and Rodriguez were later connected by tabloids, with claims circulating that he had previously liked one of her Instagram posts.
A source previously told ET that "Alex Rodriguez never met Madison and doesn’t know her," while LeCroy told Page Six that she and Rodriguez "never met up," but did claim they'd "spoken on the phone."
ET previously reached out to Rodriguez and LeCroy for comment.
While Lopez and Rodriguez never publicly addressed the rumors, the "On the Floor" singer did reveal during an interview with Allure last month that she and her fiancé participated in therapy amid quarantine.
"It has been actually really good," Lopez said of quarantine. "We got to work on ourselves. We did therapy. I think it was really helpful for us in our relationship."