Nelly -- FLOYD MAYWEATHER IS NOT MY FRIEND ... But He Tried to Bang My Ex

Nelly says he and Floyd Mayweather were NEVER FRIENDS ... even though they used to hit the clubs together .... but says Floyd once tried to bang his ex-girlfriend behind his back.

We broke the story ... Mayweather feels betrayed by his ex-fiancee Shantel Jackson for moving on and dating Nelly ... who Mayweather was friendly with earlier this year.

FYI -- Nelly and Floyd have been spotted hanging out together at various nightclubs over the past few years ... and we're told the two were cool with each other. In fact, one of our producers once spotted the two of them hanging out together at one of Floyd's post-fight parties in Vegas.

But Nelly says they were far from friends -- saying, "Me and Floyd being such good friends is a total shock to me considering we have never exchanged numbers, never been invited to a fight, never been to his house, never ate lunch, we never have hung out anywhere other than seeing each other in a club!"

In fact, in a statement posted on Instagram, Nelly says "Floyd could be confusing his relationship with me with his relationship with my ex for whom he has exchanged numbers and has flown personally to attend His weekend in Michigan which I wasn't invited (guess I wasn't in the circle of friends then) lol."

"I have great respect for him as far as him being a true champion in his sport but homies ..?? Circle of friends ..? Nahh ... Good luck to him tho keep making history champ."