The man himself denied this rumor earlier today on Good Morning America (ABC News) and has no comment other than that.
And to check it out seriously, our hero probably didnt even know who the hell is Lily Donaldson . He only made specific amount of photo pages that related to fashion world last year, combined in one shooting set used by three different media publications - Vogue USA, MensVogue, Times. And we all know that only one girl appeared with him that is Caroline.T. And much less public-caring Amanda Beard aka gold medalist of the bitchy competition also made it clear that she is Not dating nor kissing Phelps (Yeah, you wish biaaatch.)
Special Thanks to Lin Yun @Speedo for the image.*All rights reserved*