When reporters asked him about the scandal, he responded good-humouredly: 'Do you deserve a scolding or what? Hong Kong has just lost Fei Cheh and yet you are asking about Hong Kong's dishonourable matters.'
Fei Cheh - meaning Fat Sister in Cantonese - is entertainer Lydia Sum, who died last week.
According to a tabloid story, Tse and his wife checked into the Four Seasons hotel to hide from reporters, only to bump into Chen at the same hotel. But when he was told of the story on Tuesday, he said: 'What? No.'
Asked if the scandal had hurt his marriage to Cheung, the mother of his six-month-old son, he said no and added with a smile: 'The relationship is very good.'
He then shook his head when asked about the rife divorce rumours. He also denied that their careers had been affected, saying: 'There is no effect. She will continue minding the child.'
He added that her showbiz work had also not been affected.
Reports have made much of the fact that he has not been wearing his wedding band.
But Apple Daily noted that apart from the time he showed off the ring on his finger and announced his marriage in 2006, he has mostly worn it around his neck.
Since he hurt his left hand during gongfu practice that year and tore a ligament in his ring finger, he has not been able to straighten the finger - not even to wear his wedding band, the report said.
On Tuesday, Taiwanese singers Jolin Tsai and Elva Hsiao denied they were involved in the scandal.
Their names have been linked to Chen amid talk that the police have found new sex photos showing up to five new celebrities.
Tsai's management company said it would give NT$100 million (S$4.52 million) to whoever could provide 'true evidence' that she had taken a sex photo. Hsiao's company said it would give the same sum to charity if a sex photo showing her and Chen was found.