The star was being interviewed over the phone by Australia radio station 2DayFm when she made the shock admission.
Asked “Who taught you about sex?” by host Kyle Sandilands, Gaga replied: “Oh my gosh. You’re awful. My right hand.”
Sandilands added: “Come on, who sat you down and gave you the birds and the bees talk?”
The superstar insisted: “I answered that question.”
She also refused to confirm whether or not she is single at the moment.
She said: “I’m just focusing on my new record right now. I’m so happy that the fans love it - that’s the most important thing to me.”
Lady Gaga was promoting a one-off concert she is giving in Sydney on July 13.
Sydney’s Town Hall will be transformed into the “Sydney Monster Hall” for the event, during which Gaga will perform songs to promote her new album Born This Way.
The concert is for fans and competition winners only.