Klum, who split from her husband Seal in January, was first romantically linked to Martin Kristen in the summer.
Speaking on The Ellen DeGeneres Show today, Klum joked that she couldn't help but watch the 1993 film that mirrors her situation.
When DeGeneres said that she wasn't going to pry into her personal life, Klum replied: "OK, but I'm very happy though. I'm happy."
However, DeGeneres went on to joke that she wanted to ask Klum about the movie The Bodyguard, prompting Klum to laugh.
"That's going to be my Halloween costume next year maybe," she quipped. "I actually watched that movie since then. I had to!"
Klum also revealed that her family is doing well, saying: "The kids are very good. They're happy, they're great."
Klum's relationship with Kristen became the subject of controversy earlier this year when Seal accused her of "fornicating with the help", causing Klum to admit that they weren't "the greatest friends" at the time.
Watch Heidi Klum speaking about The Bodyguard below: