The 44-year-old Bombshell star dated the 59-year-old Milk actor for 18 months before they split in June 2015, but insists they were never engaged to be married.
Theron responded to the rumours on The Howard Stern Show, saying: “What? That’s not true. No, I did not ‘almost get married to Sean’, that’s such bulls**t. No, we dated, that was literally all we did, we dated.”
She added: '“It was a relationship, for sure. We were definitely exclusive, but it was for barely a year. We never moved in. I was never going to marry him. It was nothing like that.”
The Oscar-winning couple were friends for 18 years before they began dating between December 2013 and June 2015, and it was reported that Penn had proposed to Theron in Paris in November 2014.
Theron had already adopted her first child, Jackson, in March 2012 and there were even rumours that Penn was planning to become Jackson’s father.
But she told WSJ magazine in 2016: "The stories saying that Sean was going to adopt Jackson and all of that were not true. It's not something that happens in 18 months. You can't do that to a child.
"So there was an understanding that I was a single mum with a very young boy who I had to put in a situation where he understood that Mummy dates but that he does not have a father.
“You have to be very careful and very honest about that stuff. And Sean was great with all of that.
"And in my honesty about wanting to have more kids, there was an understanding that a relationship had to go somewhere before it was going to be – what you hope for, which ultimately did not happen."
She added: "We had a very clear understanding. He knew that I was thinking about filing for another adoption but that we weren't filing together."
Theron adopted her second child, August, in July 2015.
Theron told Vogue earlier this year: “I never wanted to get married. That’s never been something that’s important to me. On the lives of my children, I’ve never been lonely. I’ve never felt alone.”
She added: “My life right now just doesn’t allow a lot of room for something like that to happen. But in saying that, there’s not this thing that drives me [to have a romantic relationship].”