Speaking about the incident, Kyle said: "I'm in the room by myself and I have arranged for a young and beautiful model to come over for me to have my way with her.
"We are sitting on the bed having a chat, making out, a bit of kissing and then I hear a [knock] on the door."
Kyle continues: "Dannii rolls in and 5 to 10 minutes goes by and I'm thinking about this poor model sitting in the bedroom waiting.
"The door goes again and I open the door and it is a girl I used to work with so I brought her in.
"I got a celebrity stashed on the balcony, a model stashed in the bedroom and then I bring in another person so there are three girls in the bedroom."
He said the third woman ended up leaving so he decided to bring the unnamed model to the balcony to meet Dannii.
Kyle claimed, "Dannii says, 'look at you with all of your floozies,' and the model says 'I think I might go.' I was gutted."
He said 10 minutes later Dannii ended up leaving too.
Kyle's co-host Jackie "O" Henderson asked Dannii if the story is "accurate".
"I do not recall it," Dannii said.
But she admitted to Kyle: "There are always cool people hanging around you."
She said that next time she decided to call in to see him she would text first.
"Who just drops in?" Kyle joked.
Kyle has been dating Imogen Anthony since 2012.