The actress and Celebrity Big Brother winner was said to be withholding the announcement until she is in her second trimester.
She tweeted today: "Sick and tired of all the congratulatory messages and calls. So, for the last time, 'I am not pregnant'. All this is so annoying... grrrrrrrrr."
Earlier in the week, she told her followers that if she had plans to make any personal announcements she would do it when she felt like it, rather than informing the press first.
Shetty married her tycoon boyfriend Raj Kundra in November 2010.
The 35-year-old actress was last seen in the Hindi, English and Chinese film Desire.