It was revealed on Tuesday that the former Italy midfielder, along with fellow ex-player Cristian Brocchi, was connected to a case that saw four men arrested on Monday night.
But 2006 FIFA World Cup winner Gattuso insists the prospect of pre-determining the outcome of a match has never crossed his mind.
"Never have I ever had the slightest thought about possibly fixing a game," he is quoted as telling Sky Sport Italia by La Repubblica Sport.
"If something was proven I would be willing to go out into the street and, I know this is a strong thing to say, I would kill myself.
"Anyone who knows me knows that I can't stand to lose even a practice game, not even a game of cards with my friends.
"I'm angry and offended. I want to clear everything up so I don't have a stain on my career."
Meanwhile, the player's agent, Andrea D'Amico, stressed there was not yet a cause for panic.
"We are remaining calm and we have to be patient and see how the investigation develops.
"However, just because he is under investigation does not mean anything, for all we know this could be just false allegations.
"Sometimes when you are a famous player, it is very easy for your name to appear and to be a target.
"We will wait and see how the situation develops."
Gattuso, who spent 13 years at Milan as a player, has been out of work since being sacked as coach of Serie B Palermo in September.