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He also said if Beckham had heard the entire conversation he had had about him "he would actually feel quite good about it".
Having made the denial in Parliament, any conflicting evidence could see him referred to the privileges committee for misleading Parliament.
It was reported by Radio New Zealand that he made the comment to a group of students at St Hilda's Collegiate in Dunedin last Friday.
According to the report, Mr Key said Beckham was handsome and nice but was also "as thick as batsh*t".
The issue was raised in question time by New Zealand First leader Winston Peters.
In the House, Mr Key said Mr Peters was relying on "hearsay".
Mr Peters: "Yes or no, did he not say at a meeting with schoolchildren that David Beckham was as thick as bat ..."
Mr Key: "Categorically I did not say that, no.
"If it helps in terms of clarification, I am reluctant to swear in Parliament but if the member is asking me whether I used the word 'batsh*t', I did not."
Asked later what he did say, Mr Key said it was a private conversation and he would not repeat it. He refused to say whether he swore.
- Audrey Young of the NZ Herald