The 39-year-old last week sent a tweet wishing Katie, 36, luck in in the house, despite their divorce being fairly messy.
However he's now insisted he's disappointed in his ex. Speaking to the MailOnline, Alex said: "I'm disappointed Katie would bring up private information."
During a conversation about sex with housemates Kavana, Michelle Visage and Cami Li, Katie revealed all.
When Kavana asked about anal sex, Katie revealed she'd used a sex toy on Alex.
She said: "I couldn't put enough up there. A lot of straight men like to have the pinkie up there, but Alex wanted it all.
"That's why I divorced him, because I didn't want to be the man in the relationship."
Katie also revealed she showed a judge in court "footage" of Alex, during his custody battle with Chantelle Houghton over their daughter Dolly.
She told Patsy Kensit and Perez Hilton: "I went to court for Chantelle to prove what [Alex] is really like.
"I went in there happy to show the judge what footage I had on my phone of him. I said to the judge, 'here it is if you wanna see it'.
"I sat at the back of the court and told him a few home truths. In fact, I showed him the footage I had and he said, 'wow' - because it was so shocking."
A source revealed that Alex is particularly upset with Katie because he has been rooting for her to win to all of his mates.