The newspaper said his wife Micheline Roquebrune, 77, was always frightened to pick up the phone when he was out on the streets of Manhattan in case of bad news.
The inference was that he can sometimes not find his way home.
Connery, 83, told a British newspaper two years ago that he had no interest in acting any longer.
German newswebsites and papers were filled with the comments of Caine, 80, to Bild, which were confined to a couple of sentences.
A spokeswoman for Connery denied the newspaper's claims.
"The same article also have Sean living in Spain where you all know he does not live," the spokeswoman said.
"This [article] is truly silly and nonsense. I do not wish to give credence to this ridiculous story," reported the Scotsman.
The last time Connery appeared before the cameras was in 2003 for The League of Extraordinary Gentlemen.
He and Caine became pals during the shooting of the 1975 epic The Man Who Would Be King.
- Daily Mail