The 'Joyful Noise' star's sexuality has been the subject of speculation for some time, though she has never acknowledged the rumours.
In an interview with Entertainment Weekly, she addressed reports alleging that she came out at the pride event, saying: "That definitely wasn't the case. I've never dealt with the question of my personal life in public. It's just not gonna happen."
The 42-year-old said that she was thrilled to serve as Grand Marshall for the event, adding that she loves performing for gay audiences.
"To me, doing a gay pride show is one of the most fun things," she said. "My first show that paid more than $10,000 was in a gay club on New Year's Eve in San Francisco. Tupac happened to be in town, so he came to kick it with me.
"This was the early '90s. And the boys were like, 'Take your shirt off, Tupac!'. He wasn't doing that. But we had a blast in there."
Latifah also expressed support for her gay fans, saying: "I know that the most important thing and the only thing I have to give is love. When people are going through hatred and bullying, the biggest thing to fight that is love."
The actress just finished filming a Lifetime remake of Steel Magnolias.
Her next movie, Ice Age: Continental Drift, is scheduled for release on July 13 in the US and UK.