There was speculation that the American goalkeeper was being allowed to join the Cottagers in addition to James Milner going to Manchester City.
But the Friedel told Sky Sports News: "That story was made up. I've never had contact from Fulham or with Fulham. I never had a conversation with Martin O'Neill about Fulham. I really don't know where that came from."
Friedel insists the focus is on gaining three points against West Ham this weekend and believes caretaker boss Kevin MacDonald will have the respect of the players.
He said: "We are all surprised (about O'Neill leaving). On Monday was training as normal and I was just sitting at home with the kiddies when the news came up on television.
"We've had our meetings about going forward and it's down to us now to do the right thing for the club and get three points against West Ham.
Out-of-favour central Curtis Davies has claimed he was not given a fair crack of the whip by O'Neill and was one of six players made available for transfer this summer.
He said: "I was shocked about Martin O'Neill going. I got home, got a text that the gaffer resigned, and it was true. I didn't see it coming to be honest.
"But a lot of players have been frustrated by not having a fair crack of the whip and I'm one of them. There is no guarantee whoever comes in is going to play you or not play you.
"But if you feel you have got a chance, then you are happy. As long as someone who comes in who is fair, I am sure people will be happy. I felt I didn't have a chance."
Source: PA
Source: PA