But Anderson has not specifically denied he was the source of an allegation which has sparked a defence investigation and opposition outcry.

"I am not a moralist. I learned along time ago that it is folly to moralise," Anderson told Sydney radio station WSFM.

"I don't moralise about people's lives.

"I doubt very, very, very much - I have only seen all the girls conduct themselves in a very, very professional manner and certainly Tania, because she is a very professional person.

"She has been in the industry long enough to know what she can and can't do and what she can get away with."

A defence briefing reports unsubstantiated claims that Zaetta had sex with Australian special forces soldiers at the Australian base in Tarin Kowt, Afghanistan, last month, News Limited reported.

The 37-year-old entertainer, radio host and TV personality strenuously denies the claim.

"That is the most ridiculous story I've ever heard about my life - and I've heard plenty over the years in this industry," Zaetta said.

Zaetta and Anderson were headline acts on a 17-day tour that staged concerts for Australian soldiers serving in Iraq and Afghanistan.

News Ltd reported Anderson was the source of the original allegation contained in the leaked document.

He allegedly told the defence force entertainment division he had been informed by special forces soldiers that while Zaetta was at Tarin Kowt she had sex with them and they had the photos and video to prove it.

When asked if he was the source of the allegation, Mr Anderson said he was incredulous.

"That is what I am saying. I just find that whole thing just, you know, I am just incredulous," he said.

Both Defence Minister Joel Fitzgibbon and defence acknowledge an investigation is underway but have refused to make any other comment.

Opposition defence spokesman Nick Minchin says the leaking of the unsubstantiated claims are a gross and extraordinary invasion of Ms Zaetta's privacy for which Mr Fitzgibbon should apologise.

"It is deeply concerning that these unsubstantiated allegations have been publicly aired, especially as Ms Zaetta strenuously denies the rumours," he said in a statement.

Entertainers, such as Zaetta and Anderson, should be thanked for visiting our troops in the field and not subjected to tawdry innuendo, he said.

"How did these stories reach the newspapers? Mr Fitzgibbon must immediately investigate who in the Department of Defence or his office leaked this story.

"And then he must explain how that person has been dealt with and what will be done to stop such slurs being leaked in the future."

Prime Minister Kevin Rudd said investigation of the claims was best left to the defence department.

"I have seen those reports today and, as I understand it, these matters are under investigation within the defence department and I will leave it for that investigation to reach its own conclusions," he told reporters in Canberra.

A member of a band which toured Afghanistan with Zaetta dismissed the reports, saying those on tour were too busy to get up to any mischief.

"I've heard of quickies mate, but you'd have to be really quick - we didn't have time to do anything," John Clinton, from the country rock band The Wolverines, told Macquarie Radio.

He said the touring party had no time to fraternise with troops and were closely monitored by the defence force at all times.

"I can't see where that sort of thing could have happened."

Clinton also doubted Anderson had complained about Zaetta, saying he "was just such a gentleman" while on tour.

"I can't believe that it would have come out of his mouth, and ... even if he did know something like that, I doubt very much he would have said anything."