Applebaum had told reporters earlier in the day he was going to meet with investigators from the Charbonneau Commission.
"I know that everybody here has one question and the question is, 'Is Michael Applebaum under investigation' and the answer is no," he said after the encounter, promising to co-operate with the inquiry.
He also denied newspaper reports that he was being investigated for real-estate deals conducted while he was mayor of a Montreal borough.
"The headlines . . . are not true."
Applebaum said it was an "excellent day" for Montreal because of his announcement Friday morning that the City of Montreal was setting up the anti-corruption unit.
Applebaum said the unit of 20 or so members, comprised mostly of experienced investigators, will have the power to question all city employees and anyone who conducts business with the city.
"I am opening the door of the city administration for them," the mayor said.
"They will be allowed to look and search everywhere...I want to be perfectly clear — if you're trying to defraud Montreal and its taxpayers, think twice."
That reach includes being able to look into real-estate transactions, municipal contracts, infrastructure projects and even the purchase of clothes for firefighters.
"This new squad will be autonomous and independent," Applebaum said. "Nobody is untouchable."
The province already has its own anti-corruption unit called UPAC.
Montreal police Chief Marc Parent said he has already been in touch with the head of the provincial squad as well as the head of the provincial police and Justice France Charbonneau, who chairs the Charbonneau Commission.
He said sharing information will be vital.
"We can bring our expertise on the field," he said. "We're already there. We already know this environment of organized crime but also the City of Montreal."
Parent said Montreal police are already conducting their own investigation into city corruption but he would not elaborate.
Allegations of widespread corruption in the province over the last year or so have led to the resignation of various mayors, including Montreal's Gerald Tremblay and Laval's Gilles Vaillancourt.
Jean-Francois Lisee, the Quebec cabinet minister responsible for the Montreal area, gave his support to the new unit.
"The squad is very good news for every honest Montrealer and very bad news for every crook in the city of Montreal," Lisee said. "It's going to be very, very tough to swindle Montrealers in the future as the squad will be permanent."
(With files from Andy Blatchford and Nelson Wyatt)
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