A number of news outlets claimed that the pair were romantically involved after spotting them together at a New York Knicks game earlier this month.
"No, but I wish, because that would be hilarious," Sevigny told Interview magazine. "That would be the weirdest couple in the world. It would be like the apocalypse.
"We represent extremes in opposite directions. So for us two to come together, it would be a very strange meeting of the minds of colliding of two worlds."
Despite refuting the rumours that she and Pauly D, real name Paul Del Vecchio, are a couple, Sevigny did suggest that the DJ is her favourite cast member in the MTV show.
"I haven't watched that many episodes, but of the ones I have, if I were to pick one of the dudes on the show, I'd definitely pick him," she added. "He seems more affable and kind of funny and easygoing."
Sevigny will return to television for the final season of Big Love tonight.