Rossdale, who is married to pop star Gwen Stefani, speaks about the relationship in the November edition of Details magazine.
The Bush singer, 44, tells Details he had a relationship with Marilyn as a teenager in the 1980s.
Marilyn, whose real name is Peter Robinson, has previously claimed they had a five year relationship and that he kept quiet about for the sake of Rossdale's career.
'I think at the outset there was a sort of fear - that was right at the beginning of Bush, and I didn't want it to be part of it,' Rossdale told Details.
'It felt like a cheap shot, so I was like, 'I'm not getting involved.'
'I've never wanted to appear closed about it. It's not something I've talked about really because it's always been in the glare of a tabloid world.
'It’s just one of those things - move on.
'When you're 17, Jesus Christ, I don't think there's anything strange about any form of anything – you're learning about life.
'It's a part of growing up. That's it. No more, no less.'
Rossdale was asked by the magazine if it was a one-time experimentation.
'Yeah. That was it. You have to know what you like, and I know what I like.'