According to the sources, Azhar had been dating 26-year-old Jwala, a badminton doubles player and was seen many times with her.
"These reports are completely rubbish, baseless and are in bad taste. I am very hurt by all these reports which are completely false, fabricated and disgusting," said Azhar.
Azhar said these were motivated by people in the Badminton Association of India, who want to tarnish his image since he tried to contest for the presidential elections in Jun.
"Jwala is a very good player. She has been doing well and will win many medals for the country in future. So I just want to request everybody to just leave her alone and not get her into this cheap controversy," he added.
According to the sources, Azharuddin, who got married to the model Sangeetha Bijlani in 1996, is filing a divorce against her.
World number seven mixed doubles player Jwala is married to Chetan Anand, who is a badminton player and also a national champion.