"I do not know that the prosecutors in Manhattan are conducting an investigation against me," RIA Novosti quoted him as saying.
Giuliani also noted that he continues to work as a lawyer for Trump.
Earlier, the newspaper The New York Times, citing two sources, said that federal prosecutors in Manhattan are conducting an investigation, in which they find out if Giuliani did not violate laws on lobbyism in his activities in Ukraine.
According to one of the sources, investigators evaluate the actions of Giuliani, allegedly directed against the US ambassador to Ukraine, Mary Jovanovic.
Earlier, Jovanovic arrived in Congress to testify as part of the Trump impeachment procedure.