"Well we've been dating for, like, secretly for the last three years," Olsen told DeGeneres. "We're actually engaged."
"I remember that," Evans responded, playing along with the joke. "I remember sending you a text saying, 'Hey guess what, apparently we're dating.' "
As the two burst into laughter, Olsen joked that being in a secret relationship can lead to a few communication problems. "We were about to move in with each other, but we're still trying to figure out if we're dating or not, because we don't talk instead."
While they seemed to dispel the dating rumours once and for all, DeGeneres encouraged them not to rule out a possible relationship in the future.
"I don't know, I'm just saying," said DeGeneres. "Think about it, don't just pooh-pooh it. I mean you're both single, and if they're saying it, maybe somebody sees something you don't."
But while they may not be dating each other, both Olsen and Evans have been linked to other A-list stars. Olsen previously faced speculation she was dating Tom Hiddleston, while Evans has been linked to Minka Kelly, Jessica Biel and Emmy Rossum.
Captain America: Civil War hits theatres May 6.