The 49-year-old star previously dated Jennifer Syme, who tragically gave birth to a stillborn daughter in 1999.
Just 16 months later she passed away when she was involved in a car crash as the sole passenger in the vehicle.
"I know, I still don't have a family or kids, but I was just unlucky," the star told bunte.de.
As one of the biggest names in Hollywood, Keanu often has to put up with speculation about his love life.
He revealed how he deals with rumours about who he is dating.
"For me, the press is like a parallel universe that I don't often frequent," he admitted.
"I never really look at this mirror image of myself; I'm more interested in my films and work and I prefer to talk about that."
Keanu's latest venture is action movie 47 Ronin about a group of samurai out to avenge their master following his death.
There's also a love interest for Keanu's character, which caused the actor to reflect on love.
"I think that it's still relevant today, although hopefully this kind of thing is no longer as frequent," he said of the difficulties the loved-up characters face.
"But social differences, standing, where you come from are still unique to every culture. But hopefully love conquers all."
He also admitted that the action part of the film posed some danger for the cast.
"It is dangerous when you're filming. And while our swords aren't as sharp as the real samurai ones, they are still made of aluminium, some even out of steel. You know what you have to do, but it's still steel and aluminium and it can cut you and hurt you," he said.