The choreographer, 28, and singer Cole, 29, were rumoured to be an item back in 2010, but neither of them had ever spoken about the romance, reported Sun online.
"We dated for a while. I don't speak about my time with her because I think often in this culture people take advantage of their friendships. I've never spoken about her because her friendship is important to me," he said.
The 'Dancing With The Stars' favourite insisted that the pair are still great friends.
"Absolutely we are still friends, we are still very close," he added.