Chris Lowe said that the duo's track was likely to feature on a new record by the Welsh diva.
"How do you know this? My goodness the internet's bloody good isn't it?! I didn't think anyone knew about that," Lowe told Gigwise.
"Well...we've written a song for Shirley Bassey which we've heard she likes, so that's all I know and I think she's making an album with David Arnold so....Wow, I'm amazed that's on the internet!"
The Pet Shop Boys release their tenth studio album Yes on March 23.