August 30, 2008 09:30 PM

Michael Phelps definitely isn’t complaining about being considered an eligible bachelor.

“It feels pretty cool,” Phelps, 23, told PEOPLE in an exclusive interview at Walt Disney World‘s America’s Homecoming Parade in Orlando on Friday. “I don’t feel any different. I’m just having fun with this.”

But when it comes to recent rumors linking him to Nicole Johnson, a former Miss California USA runner up, he’s remaining coy. “I never said I have a girlfriend, and I never said I don’t have a girlfriend,” said Phelps. “My public and private life are separate. I keep my private life to myself.”

Johnson, who spoke to PEOPLE recently, wouldn’t confirm a courtship but says, “we’re good friends.”

The 14-time Olympic gold medalist did open up about his strangest encounter with female fans. He described a girl in the crowd at the Disney parade who held up a neon green sign that said “Congratulations, Michael” on one side and “Call me” with her phone number on the other. “I started laughing,” says Phelps.

The Baltimore native will be sure to attract more female attention when he shows off his acting chops as the host of the season premiere of Saturday Night Live on Sept. 13.

“It’s going to be really strange, but fun,” he said. “We’ll see if I really am a fish out of water and if I have a comedic side to me. All of my friends are giving me a hard time about it and saying I better not mess up and better not do this or do that.”

And the in-demand Phelps will add another credit to his acting resume: The star swimmer also filmed a cameo on Thursday for an upcoming episode of HBO’s Entourage, one of his favorite shows.

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