Maksim Chmerkovskiy on Jennifer Lopez -- 'It's Going Great'

EXCLUSIVE

Maksim Chmerkovskiy danced around the question ... is he banging Jennifer Lopez?

We got Maksim in NYC and asked him about the pic we posted Monday ... showing him and JLo hanging out in Connecticut Saturday night ... definitely looking cozy.

Our photog was pretty direct, and Maksim very cleverly deflected the questions.

Yeah, they're totally together.