The American keeper became the first Villa player to comment publicly on O'Neill's shock resignation 24 hours ago.
Friedel was surprised that O'Neill chose to quit after taking training yesterday.
There was speculation that Friedel was being allowed to join the Cottagers in addition to James Milner going to Manchester City.
But Friedel told Sky Sports News: "That story was made up. I've never had contact from Fulham or with Fulham.
"I never had a conversation with Martin O'Neill about Fulham. I really don't know where that came from."
Friedel insists the focus is on gaining three points against West Ham this weekend and believes caretaker boss Kevin MacDonald will have the respect of the players.
He said: "We are all surprised (about O'Neill leaving). Yesterday was training as normal and I was just sitting at home with the kiddies when the news came up on television.
"Today we had our meetings about going forward and it's down to us now to do the right thing for the club and get three points against West Ham.
"We were just told Kevin MacDonald is taking charge and it's just our duty as players to get ready for West Ham. We trained as normal.
"Kevin is well respected by all the players and training was good this morning.
"All the lads really put the work in. Hopefully it won't be an issue and we can get the three points."
Out-of-favour central Curtis Davies has claimed he was one of several players not given a fair crack of the whip by O'Neill.
Davies was one of six players made available for transfer this summer.
He said: "I was shocked about Martin O'Neill going. I got home, got a text that the gaffer resigned, and it was true. I didn't see it coming to be honest.
"But a lot of players have been frustrated by not having a fair crack of the whip and I'm one of them.
"There is no guarantee whoever comes in is going to play you or not play you.
"But if you feel you have got a chance, then you are happy. As long as someone who comes in who is fair, I am sure people will be happy. I felt I didn't have a chance."
Davies admitted: "It is not an ideal situation four days before the season, not to have a manager, but you've got to deal with what you've got.
"You've got good players at this club and Kevin MacDonald (caretaker manager) is a good coach.
"Hopefully he has got enough time to put his stamp on us and we can pull together for him."