The 43-year-old said, to his knowledge, investigators had not spoken to his former wife, South Africa-based Carin van den Berg.
The news comes as Cairns seeks new legal counsel after the arrest of his former lawyer Andrew Fitch-Holland in London on suspicion of perverting the course of justice in relation to a libel case involving Cairns and the former boss of the Indian Premier League Lalit Modi.
In 2009 Modi accused Cairns of match-fixing. Cairns won the case and has repeatedly denied any wrongdoing.
"I have had contact from the [Metropolitan] police and the ICC and I will be engaging with them further in the coming days and weeks," Cairns said. "I still don't have details re the nature of the inquiry but I will be happy for the authorities to resolve this once and for all.
"I am seeking legal counsel re the next step. We're unsure how to get advice from here. We'll look at options in the UK and New Zealand. In light of everything that's occurring I still don't know what we [the police and ICC] are talking about."
It was revealed in December that Cairns was one of three former New Zealand cricketers being investigated by the ICC's anti-corruption unit in relation to suspicions of match and spot-fixing in more than one country. The others are Lou Vincent and Daryl Tuffey. The three played together for the Chandigarh Lions in the short-lived Indian Cricket League.
Vincent confirmed he was co-operating with the investigation and Tuffey's last public utterance suggested he was willing to help investigators if called upon.
Cairns said since his last contact with media - during the first test between India and New Zealand in early February - he had spoken regularly to Tuffey but was yet to speak to Vincent. "Daryl and I are mates, but he's got his own situation to deal with here, which I'm not privy to."
Cairns said he had concerns about how he would earn an income now payments from Sky Television had ceased. "It's a good question. I have been unable to work since this broke and was supported by Sky over the course of the summer. From a financial aspect it's stressful. I'd like some light to be shone on where this is going. I've got nothing to hide. I'll go through whatever process is required; but there's been a lack of process over four months."
Regarding Fitch-Holland's arrest, Cairns said it would be inappropriate to comment on someone else's legal situation.
"We need to respect the process and keep an open mind to allow it to play out. I haven't spoken to him [Fitch-Holland]. All I can do is reiterate how complex these things are.
The Metropolitan Police told the Herald that: "A 49-year-old man has this afternoon, Wednesday 26 March, attended a central London police station where he has been arrested on suspicion of perverting the course of justice in relation to a civil case heard at the High Court. He remains in custody at this time."
When asked specifically if they have officers in New Zealand and Australia, a Scotland Yard spokesman said "we cannot comment for operational reasons".
Modi could not be reached for comment.
A New Zealand Cricket spokeswoman said the governing body would comment once the situation had unfolded further and they had a chance to gather more information.
Last month, Cairns said his life was in limbo while the investigation continued, and that he had still to be contacted by any relevant authorities.
