"My name and that of my brother were the least important names that appear in the Panama Papers," said the left-leaning filmmaker over revelations last month that they controlled an offshore company in the British Virgin Islands.
"The Spanish press have treated us as if we were the main people on the list," he added.
He told reporters that "if the Panama Papers was a film we would not even have made the full cast and crew list - or been on screen."
His brother Agustin, who is the film's producer and was at his side during the press conference, acknowledged last month that they took control of a company based in the tax haven in 1991.
He said then that the firm was created "ahead of the possible international expansion of our company" but "was left to die without having been active as it did not fit with our way of working."
Commentators believe that the scandal badly hit the popularity of the film, about a mother's excruciating wait for a long-lost daughter, when it was released in his native Spain last month.
Media there said it had the worst box office for an Almodovar film in 20 years in its opening weekend - making just €585,000 ($665,000) with 79,000 tickets sold.
It languished at number 17 in the box office chart last week despite the boost of its Cannes nomination.