Asked if any of the group romanced their fellow finalist, each of the band rejected the suggestion.
Harry Styles told Heat: "I think the thing was that Cher was the same age as us, so naturally we got on."
When it was suggested that Malik had a fling with Lloyd, he replied: "No! We were just good friends, man."
Styles continued: "If anyone talks to anyone on The X Factor, they're immediately dating."
Louis Tomlinson then quipped: "Have you ever seen that film, Friends With Benefits?"
Malik started dating fellow X Factor star Rebecca Ferguson, but the couple split last month. On the cause of their break-up, Malik said: "That's personal, so I don't want to say."
Asked if the band get more attention from girls after their time on The X Factor, Styles said: "I think everyone becomes more attractive when they get famous."
Tomlinson added: "Can I say on behalf of Harry, he won't say it himself, but he is an incredible flirt, he does it very well. He knows when to do it and where."
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Styles has previously said that he likes "a babe with talent" while Malik's celebrity crushes are Jessica Alba and Megan Fox.
Asked what he looked for in a girl, Styles said: "Someone who is really banterous and puts you down all the time. Someone who's cheeky."
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Watch the One Direction 'What Makes You Beautiful' music video below: