The couple began dating in 2010 but their relationship came to an end last summer.
Rodriguez has now told The Insider that he understands why people are interested in his personal life.
"It's New York," he said. "People are going to always have an opinion on pretty much anything you do, both on and off the field."
He continued: "I don't like talking about my relationships, but what I will tell you about CD [Cameron Diaz], she's probably one of the greatest human beings I've ever met and just an amazing light."
The New York Yankees player also revealed that he is "not sure" whether he will ever get married, joking: "I think my new hero is George Clooney. He's my new role model. I think he's done alright."
Rodriguez has previously revealed that he "has a lot of love" for Diaz.
Watch Alex Rodriguez speaking with The Insider below: