Asked whether the report could have been copied while it was in his possession, Mr Dunne said: "It's very difficult when it's in a locked briefcase in a house that I'm not in because I'm overseas at the time."
Mr Dunne's office confirmed he returned from San Francisco on April 7. The Herald understands the report was leaked to a newspaper the following day.
Mr Dunne also said Mr Henry had "questioned everyone who had access to the report".
Through spokespeople, other ministers who received the report said they had not been interviewed.
Asked by Mr Shearer in Parliament yesterday, Mr Key said he had not sought an assurance from Mr Dunne that he was not the source of the leak because the inquiry was still under way.
Mr Shearer last night told the Herald the discrepancies in Mr Dunne's comments "add weight to the allegations that are swirling around at the moment and clearly Mr Key needs to ask ... the hard questions".
Mr Dunne last night said he did not know when the report was leaked but he returned to New Zealand "on the 7th or the 8th".
He also said that while he thought everybody who'd received the report had been interviewed by Mr Henry, "I was wrong".
Earlier yesterday, Mr Key said he had confidence in Mr Dunne.