The prime minister has been facing mounting pressure over his relationship with Jennifer Arcuri, who allegedly received favourable treatment, including grants and access to business trips, while he was in City Hall.
Asked on BBC's The Andrew Marr Show if he declared an interest relating to his links with Ms Arcuri when he was London mayor, the prime minister said: "There was no interest to declare."
Mr Johnson added: "Let's be absolutely clear, I am very, very proud of everything that we did and certainly everything that I did as mayor of London."
It follows reports by the same paper that Ms Arcuri was given £126,000 in public money and privileged access to three foreign trade missions led by Mr Johnson while he was mayor.
Mr Johnson has consistently denied any wrongdoing in relation to his links with Ms Arcuri.
Despite building pressure over the allegations, Mr Johnson was smiling as he arrived in Manchester for the Tory Party Conference with girlfriend Carrie Symonds.
The prime minister also doubled down on his Brexit rhetoric, defending the use of words such as "surrender" - saying to avoid doing so was "impoverishing the language and diminishing parliamentary debate".
He admitted that tempers on both sides of the Brexit debate had become "inflamed" - but said it was wrong for parliamentarians to be crowded out from using words like surrender.
He told Marr: "I think what most people in this country would agree is that Brexit discussion has been going on for far too long and it is true that tempers on both sides have now become inflamed.
"The best way to end this is to get Brexit done on October 31st and move the country forwards."
It comes after the prime minister was criticised by several MPs in the House of Commons, who accused him of whipping up violence with his use of language.
Mr Johnson faced fierce backlash after he dismissed a complaint by one Labour MP that his “inflammatory” rhetoric risked provoking attacks on parliamentarians was “humbug”.
The prime minister suggested that his use of the word "humbug" in response to Paula Sherriff may have been a misunderstanding.
"My use of the word humbug was in the context of people trying to prevent me - us - from using the word 'surrender'," he told the BBC.
He also claimed the best thing for people's "psychological health" would be to deliver Brexit.
"The best thing for the country and for people's overall psychological health would be to get Brexit done," he told Marr.
Mr Johnson insisted that can be achieved, deal or no deal, regardless of the so-called Benn Act which demands an extension to Brexit be requested from the EU if a deal hasn't been won.
He refused to explain how he would get around the law if a deal hadn't been reached, but did not rule out asking another EU leader to veto a request for a delay.
"I'm not going to get into my discussions with any other EU head of state about the negotiations, because they are extremely interesting but they are also delicate," he told the BBC.
But he added: "I'm not going to pretend to you that it's going to be easy."