Davis and her co-stars Sarah Jessica Parker and Cynthia Nixon are constantly snapped by paparazzi while shooting the series in New York City, so to throw people off the scent, they filmed fake scenes so people can't guess the storyline in advance.
During a joint appearance with Nixon on The Late Show with Stephen Colbert on Tuesday, the late-night host asked about the long-running fake scene rumour and Davis immediately exclaimed, "Yes, definitely!"
Nixon was less forthcoming, giving a wry smile and stating, "Absolutely not", however, after her co-star repeatedly confirmed the speculation, she coyly said, "It might be true."
The star, who portrays Charlotte York in the show, explained that they do it for the fans' benefit as they don't want the plot to be ruined for them before the series is broadcast.
"We want the fans to enjoy the show. I think that's the important part," she insisted, while Nixon added, "You know, we don't want them to know, we don't want them to read the Cliff Notes (study guides) beforehand."
Fans were left outraged in October when Parker's Carrie Bradshaw was photographed kissing a new character played by Jon Tenney, leading many to question if she had split up from her husband Mr. Big (Chris Noth). It isn't clear if this was one of the aforementioned fake scenes.
Colbert asked the duo if the fans had made any correct guesses about the story so far and they said, "Nooooo" but gave cheeky grins.
And Just Like That... begins on Thursday.