Davidson, 59, was one of two men taken into custody on Wednesday (02Jan13) by Metropolitan Police officers working on Operation Yewtree. He was reportedly interviewed about offences that do not directly relate to Savile.
Davidson is the latest star to be questioned under Operation Yewtree - British DJ Dave Lee Travis, celebrity publicist Max Clifford, comedian Freddie Starr, and pop star Gary Glitter have all been arrested in recent months in connection to the Savile case.
Scotland Yard officials have confirmed Wednesday's arrests were not connected to the allegations made against ex-BBC presenter Savile, who died in 2011.
Davidson's attorney tells the BBC his client has ""vigorously denied"" the allegations against him.
The funnyman, who was awarded an Order of the British Empire medal in 2001, has been a TV favourite in Britain for decades and previously hosted popular game shows Big Break and The Generation Game.
Savile, a once-beloved BBC broadcaster, allegedly abused 450 victims, according to police officials.