In an exclusive interview with a US-based celebrity website, the 45-year-old actor insisted that the story had been 'overblown'.
Police were called to the Platoon star's suite at the Plaza Hotel, in New York, in the early hours of yesterday where they reportedly found him 'intoxicated' and naked.
Sheen is said to have trashed his hotel room after accusing a prostitute – who was found hiding naked in the bathroom – of stealing his wallet.
In a text message sent to RadarOnline.com, the Two And A Half Men actor, who is not expected to face criminal charges, said: 'I'm fine.'
He added: 'The story is totally overblown and overplayed as far as the reality of the scenario.'
Sheen returned to LA by private jet last night after leaving hospital, where he underwent a psychiatric evaluation, and has reportedly checked back into rehab.
He told the US website that he has no plans to reveal exactly what happened in Room 1832 of the hotel, saying: 'I know what went down and that's where it will stay… under wraps.'
The woman in his room claimed that she feared being attacked after the star went berserk following an argument and began screaming at her and throwing furniture, according to reports.
New York Police Department spokesperson Paul Browne said no complaints had been made and there was no arrest.