The actress and the gay movie maker have collaborated on several films - most recently Broken Embraces - and know each other so well they are practically in a relationship.
Pedro said: “There is something that works really well in our relationship that combines both our friendship and the professional side. We operate like lovers. So while we don’t have the pleasure of sex, we don’t have the complications of sex either. We work really well as a couple who don’t sleep together.”
Penelope – who is currently dating Javier Bardem and is rumoured to be pregnant – also views her relationship with Pedro as more than just a friendship.
She said: “There is no one even close to him. I am always comparing everything to working with him.” Pedro has previously spoken of his admiration for the 35-year-old actress, revealing she is the only woman who has sparked lusty feelings in him.
He said: “Out of all the actresses I have worked with, Penelope has been the one who has caused a sense of desire in me beyond the sensuality of a film shoot. She has caused me sexual desire."