According to TMZ, Khloe was on her way to a SoulCycle session when Lamar appeared and began screaming at her.
Eyewitness reports told the US site that Lamar demanded Khloe speak to him but she was said to have been left "visibly freaked out" by the confrontation on Wednesday morning (12 August).
New US reports have since claimed that the alleged attack was over Khloe's rumoured new love interest, basketball player James Harden.
But in a new video, Lamar speaks to TMZ about the situation, where he says he had arranged to meet Khloe.
"Nobody got followed, nobody got hassled, nobody got harassed, nobody go grabbed on," he said. "None of that. None of that happened. It's ridiculous, it's crazy "
Reveal have reached out to Khloe's rep for comment.
Khloe and Lamar signed divorce papers in July this year. They split in 2013 after four years of marriage.
Khloe said in an interview with Complex last month: "Lamar is genuinely one of the best people I've ever met, and everyone says that when they meet him. I think Lamar's going to always be that person [for me] but that's what made it so special.
"I definitely miss it, and there's times I'll get so sentimental and so sad, but this had to happen for some reason. I'll figure it out over time, someone will give me that answer eventually."
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Khloe Kardashian's celebrity profile: