The Les Miserables star - who separated from his wife Danielle Spencer in October - was rumoured to have got close to the burlesque beauty and last week it was reported that they had even enjoyed a couple's massage at a hotel in New York.
But the 48-year-old actor has now taken to Twitter to end speculation about a romance, saying the pair are just friends.
He tweeted: "@DitaVonTeese is brave, smart, sweet and elegant. She is a friend of mine. Who wouldn't want friends like that? Friends, not lovers."
Russell, who has two sons from his nine-year marriage with Aussie singer Danielle, first drew attention to his friendship with Dita when he re-tweeted one of her messages.
It read: "Dressage. Was measured for bespoke blk patent boots w/my name stamped on the heel... But under whose bed did I leave my Hermes riding crop?"
Dita, 40, was married to shock rocker Marilyn Manson from 2005 to 2007.