Does Kelly need to quell every rumor attached to his name, if he has no idea where they're coming from? It's certainly possible this rumor came from his agent, but in this case there is not even one tiny piece of information that shows that it is. If it is NOT, and the reporter is making shit up, or something similar, I don't think Kelly needs to address it.
If more comes of it, then yes. But, right now the only people following up on this rumor appear to be on this board.