The Cloudstreet actress starred opposite Mark Rylance in Patrice Chéreau's 2001 film based on Hanif Kureishi's novel.
Asked by Metro whether she regretted a real sex scene in the film, Fox asked if the interviewer had ever seen it.
"Well you better watch it," she said on hearing that the journalist had not.
"Then you'd know I absolutely have no regrets and it's one of the best pieces of work I've ever done."
Of her previous claim that had she worn sexier costumes in Shallow Grave her career path would have been different, she added: "I might have said that but I saw the film again recently and was amazed by how it hasn't dated.
"The script was so clever, and Christopher Eccleston, Ewan McGregor and I worked so well together. The performances are fantastic.
"My costumes didn't occur to me watching it again. You can't have any regrets in this job - what's the point? It's a fruitless waste of time to think like that."
Watch the Intimacy trailer below (WARNING: ADULT CONTENT):