The former Ukip leader described the report from the Guardian newspaper as "hysterical" and claimed it is "extremely doubtful" he could be a person of interest as he has "no connections" to Russia.
The newspaper said Farage has not been accused of wrongdoing and is not a suspect or target of the investigation.
Farage has been drawn into the wide-ranging inquiry because of his relationships with individuals linked to Donald Trump's presidential campaign and WikiLeaks founder Julian Assange, according to the report.
Farage branded the reports as "fake news." In a statement to this website, he said, "In response to the Guardian article, it has taken me a long time to finish reading because I am laughing so much.
"This hysterical attempt to associate me with the Putin regime is a result of the liberal elite being unable to accept Brexit and the election of President Trump. For the record I have never been to Russia, I've had no business dealings with Russia in my previous life and I have appeared approximately three times on Russia Today in the last 18 months.
"I consider it extremely doubtful that I could be a person of interest to the FBI as I have no connections to Russia."
Farage added, "My meeting with Julian Assange was organised for me by LBC Radio with a view to conducting an interview."
WikiLeaks published hacked emails from Democratic candidate Hillary Clinton's campaign and is suspected of having worked with Russia via third parties, according to former CIA director John Brennan.
The FBI is looking into alleged collusion between the Kremlin and President Trump's campaign team, aimed at securing the White House for the real estate tycoon.
Farage was the first British politician to meet the President in person following his election victory, and Trump later suggested the UK MEP should become the British ambassador to the US.
Farage recently ended an interview with the German newspaper Zeit in which he was quizzed over alleged links with Russia - including whether his campaign to leave the EU during last year's referendum received Russian money - and his visit to Assange.
He denied Russian money was given, saying, "I never received a penny from Russia. I wouldn't have taken it, even if it had been offered."