The 42-year-old is now on tour with the Backstreet Boys and Florida Georgia Line, and performed in Auburn on Friday night.
The rapper was said to have been booked on second-degree rape charges at around 7am on Saturday morning.
Get more Nelly news with BET Breaks, above. He said he was "confident" in the fact that the police investigation should not lead to an indictment.
A woman called police about 3:45 a.m.to report that she had was sexually assaulted on the tour bus.
TMZ reports that Nelly's lawyer said the accusations are false and that he is a victim of a "completely fabricated allegation".
Bayern Munich appoint Jupp Heynckes until end of the season
Despite winning the Bundesliga in his first season, Ancelotti was on shaky ground after a poor start to the league this season. Heynckes confirmed on Thursday that Bayern have approached him and that he was considering their offer.
Nelly performed Friday night at the White River Amphitheatre.
Auburn police had no further details to release, the statement said.
Nelly has not made any comment on the allegation other than through his lawyer.
His manager, Juliette Harris, did not immediately respond to an email asking about his scheduled performance.
Nelly is now on the Smooth Stadium Tour with Florida Georgia Line and the Backstreet Boys. The incident allegedly took place early this morning in Washington state, according to law enforcement sources who spoke with TMZ.