Bolsonaro's remarks about the American actor were part of a wider government campaign against environmental nonprofit groups operating in Brazil.
"DiCaprio is a cool guy, isn't he? Giving money to set the Amazon on fire," the president said to supporters in Brasilia.
DiCaprio's environmental organization Earth Alliance has pledged $5 million to help protect the Amazon after a surge in fires destroyed large parts of the rainforest in July and August. But the actor and committed environmentalist said in a statement sent to The Associated Press Friday his group had not funded any of the two nonprofits named by investigators so far.
"While worthy of support, we did not fund the organizations targeted," the statement read. "The future of these irreplaceable ecosystems is at stake and I am proud to stand with the groups protecting them."
Some members of Bolsonaro's administration argue that civil society groups and environmental laws hinder economic development in the region.
Bolsonaro and Environment Minister Ricardo Salles are promoting development in some protected natural areas, even as intentional fires and deforestation in the Amazon have reached levels not seen in a decade.
The criticism of DiCaprio and environmental activists follows a police raid at the headquarters of two nonprofit groups in the Amazonian state of Para earlier this week. Local police also arrested four volunteer firefighters and say they are investigating them for allegedly igniting fires to obtain funding from sympathetic donors.
The volunteer firefighters denied any wrongdoing and a judge ordered their release.
Federal prosecutors say their investigations point to land-grabbers as primary suspects for fires in the area, not nonprofits or firefighters.
Cattle ranchers, farmers and illegal loggers have long used fire to clear land in the Amazon.
This is not the first time Brazil's president has suggested, without evidence, that nonprofit groups are setting fires in the Amazon, or questioned warnings about climate change.
In August, in the midst of an international outcry over the Amazon fires, Bolsonaro blamed the "information war going on in the world against Brazil" and fired the head of the governmental space research institute that monitors deforestation.
Bolsonaro accused the institute's president, Ricardo Galvão, of manipulating deforestation data to make his administration look bad.
But when an annual deforestation report released in November, three months after the incident, confirmed a double-digit percent uptick in deforestation, the government acknowledged that deforestation had increased year-on-year.