The actress, 35, said she didn't "feel comfortable talking about my private life in public" when David Letterman grilled her on the Late Show Tuesday night.
"You know I'm tough," she added. "One thing I don't do, I don't lie about my personal life. That's sacred for me -- it's my life. But I don't give details about it. I am allergic to that."
Cruz -- who has been dating Bardem, 40, since 2007 -- said that she knows the truth and simply chooses "not to share some things."
Finally, Letterman gave up, fearing the wrath of the No Country for Old Men star.
"I know if I'll continue," he said, "I'll get a good beating."