According to ESPN.com's Mike Rodak, McCoy appeared on First Take on Wednesday and said he had "nothing to do with" the burglary.
In September, Cordon filed a lawsuit against McCoy, as she alleged that he was behind the invasion in an attempt to get her to move out of his home.
Cordon also released photos of injuries she suffered during the burglary.
The NFL continues to investigate the matter, but NFL Network's Ian Rapoport reported in September that McCoy was not expected to be charged in the case because of a lack of evidence linking him to the crimes.
McCoy is coming off his worst NFL season, as injuries and ineffectiveness left him with career-low numbers. In 14 games, Shady rushed for just 514 yards and three touchdowns while averaging 3.2 yards per carry. He also caught 34 passes for 238 yards.
During his first three seasons in Buffalo, McCoy averaged 1,100 yards and seven touchdowns on the ground per season, along with 47 receptions for 365 yards and nearly two receiving scores.
McCoy was also named to the Pro Bowl at the conclusion of each of those seasons, but he was among the NFL's least-effective rushers in 2018.
While the 30-year-old veteran is expected to be with the Bills in 2019 since he has one year remaining on his contract, his poor play could compel the organization to go in a different direction.