A Russian newspaper quoted Tszyu's manager Matt Watt as saying the boxer had split with Lewis after the trainer stopped the fight before the 12th round.
However, Tszyu dismissed the report as false upon his arrival back in Australia on Wednesday accompanied by Lewis.
"It's not true," Tszyu told reporters.
"Johnny's my friend, I would never do that.
"After the disappointment of the loss to come here and hear these rumours, it's uncalled for and very un-Australian."
Lewis defended his decision to stop the fight, saying he did it to protect Tszyu from further punishment.
"I didn't want to put Kostya in a position where I would have regretted it," Lewis said.
"I am proud of what I have done, because I know that Kostya is as good as gold."
The 35-year-old Tszyu added he was contemplating retirement after the shock defeat but wanted to take his time before making up his mind.
"It's not only my decision, it's the decision of Johnny, myself, all my friends, my manager and my family," he said.
"All of us have to make this decision, I can't be selfish anymore because too many people are relying on this decision."