Headley was a member of Moksh between October 2006 and October 2007 and sometimes came there for a workout, Bobbie Ghosh, chief operating officer of PNCL, said in a statement late Thursday evening.
Rahul Bhatt worked as a trainer at Moksh only between August 2001 and May 2002.
Hence, media reports that Bhatt had trained Headley at Moksh "are incorrect" and "any relationship they may have had or not had is not the knowledge of Moksh and its management", Ghosh said.
He also denied certain media reports that Moksh had terminated the services of its staffer, Vilas Warak.
Rahul Bhatt and other members of the film industry have been under a scanner ever since Headley's links started unravelling after he was arrested by the US FBI in Chicago last month.
Later, India's National Investigation Agency (NIA) started a probe to find out whether Headley was linked to last year's 26/11 Mumbai terror attacks.