J Lo appeared on "The Breakfast Club" on Wednesday where Charlamagne Tha God asked about Canseco's tweets where he called out A-Rod and then challenged him to a fight.
"I mean, it doesn't matter," Lopez said ... "I know what the truth is. I know who [Alex] is. He knows who I am. We're just happy."
She added, "We're not gonna let other people come out and tell us what our relationship is. I know what our relationship is."
For her part, Jessica Canseco put out a statement last month also denying hooking up with A-Rod ... saying, "Those false accusations Jose is making are not true!"
"I have known Alex for many years and haven’t even seen him for over 5. I certainly did not sleep with him."
"I am friendly with both him and Jennifer. As for Jose he can keep playing with his Alien friends.”
Jennifer and Alex got engaged last month -- but so far, no word on when the two will officially tie the knot.