He also apologised to his family for "putting myself in a situation where I could be victimised," adding: "Y'all know damm well I ain't do no dumm S^*t like this..!! Love ..!!!!"
Authorities in Washington State said a woman called police in the early hours of Saturday morning claiming she had been sexually assaulted by the artist.
The 42-year-old musician, who had been performing at the White River Amphitheatre, was arrested and taken into custody less than an hour later.
A statement from the Auburn Police Department, read: "At 3:48am a female called 911 to report that she was sexually assaulted by a male, who is known as the rapper Nelly.