After spending most of the year as the No. 1 golfer in the world rankings, Johnson fell behind Justin Rose last week.
Johnson's statement comes after the woman at the centre of the controversy, Yassie Saffai issued her own statement.More news: Everything you need to know about Hurricane Florence
Earlier on Tuesday, the socialite rumored to have caused the split between between Johnson and his model fiancée denied reports of a relationship with the golf pro.
Johnson is scheduled to play in the PGA Tour's season-finale Tour Championship next week at East Lake, along with representing the United States in the Ryder Cup at the end of the month. "Nor have we had any prior relationship". "I met Dustin Johnson at Sherwood Country Club. I have run into him at Sherwood maybe 4 times since then and yes briefly spoke with him, like I'm sure any avid golfer and member would".
"Yassie is very ambitious, and is keen to be seen as the ultimate golf chick - but I'm not sure if being involved in something like this will help or hurt those ambitions".More news: Trump says United States under 'no pressure' for China trade deal
"I have never met Paulina Gretzky and do not know the Gretzky family, but again, I am sure they are great people", Safai wrote.
Johnson and Gretzky have been engaged since August 2013. Gretzky has a significant following on Instagram, and caught many by surprise when she deleted all of the pictures of her fiance - Dustin Johnson. I wish them nothing but the best. They have two children.More news: President Trump 'cancels' November trip to Ireland