Keegan was forced to deny rumours of her separation from the Wanted singer earlier this year, but speculation about their relationship intensified after they called off their engagement in April.
"I think sometimes it does get to her," Vincent - who plays Sophie Webster on the ITV soap - told Heat.
"As much as everyone wants to know what's going on, that's her relationship, her feelings and her thoughts, so I think it must do her head in."
She continued: "Michelle is a very strong person. She's very clever - I'd be going mad if that was me. I hate the fact that people think they can get involved in your relationship.
"Because Max and Michelle got together in the public eye, people think they're okay to talk about it or alright to comment on it, but you never know the truth."
Keegan is said to be on the verge of renewing her Coronation Street contract.
Claims that she would take a break from the show to appear on Strictly Come Dancing were denied earlier this week.