The 32-year-old, who retired from cycling following the London 2012 Games, has insisted that she has no problems with her fiance Scott Gardner when she takes to the dancefloor with Cole.
"As lovely as Brendan is, he's not my fiance, so dancing the tango, which involves staying away from each other as opposed to pretending to be in love, was really enjoyable for me," Pendleton told the Radio Times.
"I'm not an actress, so pretending to be in love with someone for a week is actually quite hard. It's a good thing Scott is very secure in our relationship, so there are no issues there."
Meanwhile, fellow Olympian Louis Smith landed in hot water after revealing who had been booted from the show before the results episode has been aired.