No. Don't report it. "I have nothing to do with that." implies that you are not involved with something that is taking place. (Damit habe ich nichts zu tun) For example if somebody accuses you of something which you have not been a part of, that's how you respond. That's totally different from "That's none of my business."
angehen - approach... So "That is nothing that goes on me." as a possible literal interpretation. "That is nothing to approach me on."
Being an idiom, Google translate has translates it as "That doesn't concern me." as perhaps an English idiom, as well as Duo's suggested idiom "That's none of my business."
I misunderstood the nichts as not and that was wrong. Nichts being nothing. And so, perhaps I'm seeing now.... "That goes to nothing onto me." with the concept of being approached about a subject.
I live in the United States. I do also hear "That is none of my business," which does make sense to me as an answer too. The word "nichts," which I believe means nothing, led me to try a slightly different locution. Perhaps I should simply learn that nichts also means none. Is that right?
For anyone who wrote "That has nothing to do with me.", "I have nothing to do with that.", or anything similar to that. That is wrong.
"Having nothing to do with something" implies that you have had no part or involvement in something that has taken place. You can say that when somebody accuses of something. (Or when somebody asks you to get involved but you wanna say that you DON'T WANT TO get involved. (Which is semantically different from saying that it is none of your business.)) I'm not sure how often the latter is used.
"It's none of my business." Just means that, well, it's none of your business?
These are sometimes used interchangeably in English but you have to stick to the rules when it comes to translating.