"We were at the Met Ball, and the paparazzi were screaming at me, not even in English, 'Get the hell out of the way, get out of the way! "I love the game so much and honestly, it's too much," he joked.

"I have three televisions in my living room and I'll have the east coast game, the central game, and the west coast game and my daughters are like, 'Daddy it's too much, I thought you were retired!

The rumors are all over the place: It's been going on for "a few months," and they were just together in Los Angeles, a source told Page Six on Wednesday evening.

"They are really into each other because they have so much in common — from their Latin roots, to their love of New York and their kids," the source said.

'" WATCH: Alex Rodriguez Says 'Brilliant' Girlfriend Jennifer Lopez Is a 'Role Model' to His Daughters While he may not be playing for the Yankees anymore, Rodriguez is sticking around in an advisory capacity for the team, and he says he "couldn't be more proud to be a part of the organization." "I'm so lucky to still be a part of the Yankees, and be advising our general partner Hal Steinbrenner and mentoring our young players," he added.

"We have a phenomenal young team." WATCH: Jennifer Lopez and Alex Rodriguez Are the Perfect Paris Pair -- See Their Adorable Sightseeing Pics!

(We almost forgot about the time he dated Cameron Diaz for over year.) Now, the 41-year-old is head over heels for his new leading lady Jennifer Lopez.

And, while the two have been going strong, we're looking back at those who came before J Lo.

His daughters are 8 and 12; her twin son and daughter recently turned 9.

A-Rod was married once, while JLo is a three-time divorcee.

"Jennifer is really into Alex but still just going with it and learning about him.