The pro dancers were spotted getting cozy in Las Vegas recently, where they visited with other friends. But looks can be deceiving.
"We have a good time," Burke, 27, told PEOPLE while celebrating her belated birthday at Palazzo Las Vegas's Azure Luxury Pool. "We've known each other since we were kids. We have that brother and sister relationship."
Burke is aware of the rumors and she even heard about her "wild" weekend with her castmate. "I woke up to a lot of phone calls," she said, "but we're just friends."
Chmerkovskiy echoed the sentiment, telling PEOPLE at the All the Right Moves Summer Invitational in New York City: "Cheryl and I are great friends. We have been for many years."
He even recently took to Twitter to address and poke fun at the gossip: "Enough with the rumors!" he wrote. "Elvis is really dead, Loch Ness monster is a myth and Cheryl & I are just friends!"
But Chmerkovskiy knows that relationship rumors and speculation are a part of being a dancer in the spotlight.
"As hard as it is to deal with at times," he said, "it would be worse if [people] didn’t care. So I guess you have to embrace it."