In an interview for the latest issue of Rolling Stone magazine Rock describes the alleged incident, which he claims occurred when Anderson was shooting a film.
Rock said that he had called the Baywatch star to make plans to see her when she dropped the bombshell.
He told the magazine: "I said, 'Baby, I got these tickets. I'll see you on the weekend there,' and that leads into her saying, 'You don't care about me, blah blah blah.'
"She finally comes up with this, 'I just had a miscarriage', and hangs the phone up.
"When I get to Vancouver she's partying at this restaurant, drinking champagne, jumping on the tables. I'm thinking, 'That's a quick recovery from a miscarriage,'" Rock added.
The music star, who is currently promoting his forthcoming album Rock N Roll Jesus, fought with Anderson's other ex-husband Tommy Lee at last month's MTV video music awards.
Rock has said that he hit Lee for disrespecting him at the show.
Responding to Rock's latest claims, Anderson told Rolling Stone: "I hope his album does well. I hope he's happy in life. We were married for four months. If he has nothing nice to say about me, then please tell him to stop talking about me."
She has previously complained about Rock being "bitter" since the end of their marriage, adding that she didn't want to fight with him nor deal with his "desperate attempts".
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