The rapper, who starred in the singer's 'National Anthem' video, said that he wanted to "bone" her.
Rocky told DJ Drama: "I used to fake have a little crush on her before I met her. I wanted to always bone her and stuff like that.
"She heard I wanted to work with her and she always used to say, 'I want to work with him too', but it never worked. Probably a month ago, she was like, 'I wrote this video treatment'."
He plays former US president John F Kennedy in the 'National Anthem' clip, while Del Rey portrays Jacqueline Kennedy.
The pair have also collaborated on a track called 'Ridin'', which will feature on the rapper's debut album Long Live A$AP when it's released on September 11.
Lana Del Rey releases 'National Anthem' as the fifth single from Born To Die on July 6. Watch the video below: