Russell made the comment while on stage Saturday night at the Atlanta show of his Messiah Complex standup tour. So it seems the relationship he spoke of in an interview with the Guardian has come to an end.
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A week ago, he admitted to a dalliance with a "nerdish, whirling dervish" and added he was "eschewing all others".
When he was pictured walking arm-in-arm with society beauty Jemima through New York, fans assumed she must be the new object of his affection – though there was never an official confirmation from either party.
Jemima did tweet a link to Russell's interview though, saying it was an example of the British funnyman "at his best".
The pair are said to have met two years ago when 39-year-old Jemima commissioned him to write an article for New Statesman, of which she is associate editor.
Russell has been yet to find lasting love since his 2011 divorce from Katy Perry, which ended their 14-month marriage.
Jemima famously dated Hugh Grant after her 2004 divorce from cricketer Imran Khan. She and Hugh split amicably in 2007, with the actor saying he had "nothing but good things to say" about her.