American swimmer Lochte, who won two gold, two silver and one bronze medal at the London Olympics, was celebrating his 28th birthday at the same hotel Harry and his friends were staying in.
He was invited to a swimming race in the pool by Harry, but was not part of the after-party which spawned naked photos of the Royal.
"I'm kinda happy," he said in an interview on the Today show. "I don't need that."
However, Lochte was overjoyed to have met Harry and to have raced him in the swimming pool.
"We were at the same pool party and his people came over to my table and said Prince Harry wants to meet you and I was like, 'Okay, let's go meet him'," he said.
"He said, 'Do you want to race me in the pool?' And I just took off my shirt and jumped in and we just started racing.
"He's really a nice guy, really talkative. He just wanted to meet me and wanted to race me, and I thought that was the coolest thing."
Lochte will resume training on Monday, while Prince Harry is believed to be heading home to England.