There is no evidence to suggest that the rumors are true...
There were rumors about you two. He was psyched that people thought you were sleeping together, apparently. I think Brit knew how preposterous it was to anyone with two nickels in between their ears. The first thing he said at his retirement dinner—this big affair down in D.C. with Vice President Cheney, Fred Thompson, Brian Williams—was "I haven't been this honored since that rumor about me having an affair with Megyn Kelly went around." Read More http://www.gq.com/news-politics/politics/201012/megyn-kelly-fox-news#ixzz1PST7jSf5