The 'Video Games' singer's recent performance on Saturday Night Live was criticised by Juliette Lewis and various other Twitter users.
"I don't want to talk about how it made me feel because I think it's disrespectful to God to go to a dark place with this kind of thing," she told The Daily Telegraph, referring to her appearance on the NBC TV show.
"People just want to see me go off the rails. That's the only reason they're watching. They just want to see what happens."
Del Rey, whose real name is Lizzy Grant, also shrugged off suggestions that her act is in any way manufactured.
"It's not like I'm torn between two personalities," she added. "There's no distinction. Not even a little bit. I wanted a name that sounded as beautiful as the music.
"Just like the only reason I use old footage of Hollywood was because I like the colour and texture, not to give subliminal Americana messages, or hint at the glory of past decades.
"I don't feel the need to slip into another world or character, because I've inhabited the same world and the same person for a long time. I'm very happy with it. Anyone will tell you that."
> Lana Del Rey on SNL appearance: 'Performing on television is weird'
Watch the music video for new single 'Born To Die' below: