The issue was raised in question time by New Zealand First leader Winston Peters.
In the House, Mr Key said Mr Peters was relying on "hearsay".
Mr Peters: "Yes or no, did he not say at a meeting with schoolchildren that David Beckham was as thick as bat ..."
Mr Key: "Categorically I did not say that, no.
"If it helps in terms of clarification, I am reluctant to swear in Parliament but if the member is asking me whether I used the word 'batshit', I did not."
Asked later what he did say, Mr Key said it was a private conversation and he would not repeat it. He refused to say whether he swore.