In an interview with Italian Vanity Fair 23-year-old Dylan, dismissed last year's rumours that she had been romantically involved with the British actor, saying that photos of them at a club in Hollywood weren't all they appeared to be.
"We're just friends," she said. "They photographed us in a place where there were other people and cropped the picture. Silly. I laughed about it."
Dylan laughed off rumours that she was involved with Robert Pattinson
Dylan, whose mother and father are actors Sean Penn and Robin Wright, also spoke about the perks of growing up with famous parents, recalling the numerous celebrities she met as a young girl.
"When I was 14, in Cuba, I met Fidel Castro with my dad, and it was really impressive," she said. "And on a totally different level, I met Justin Timberlake!"
Dylan, who says she has ambitions to become a director, also recalled the "unforgettable" experience of going to Australia at the age of eight while Sean filmed The Thin Red Line.
"Kids my age never left California," she said. "And here I was, going to school with Aboriginal kids in a dream-like location."
Dylan and her father Sean Penn in January 2014
Finally Dylan addressed her parents' reaction to the revealing photoshoot she did for risque fine arts magazine Treats.
"They were a bit surprised because I didn’t warn them," she said. "My dad said, 'OK, you reached the limit. You better not go any further'.
"I learned my lesson," she added. "In fact, to be honest, if I could go back, I would not have taken that much clothing off. I was a little naïve."