According to Gamertell, "Actor and former musician Mark 'Stop Calling Me Marky Mark' Wahlberg, the actor who stars in the game-based flick Max Payne, has once again confirmed that he has never played a Max Payne game. The latest confession comes from the October 2008 issue of Maxim magazine (pp. 86-87)."
In the article, Wahlberg says he doesn't want to add video games to his list of "vices" otherwise he might anger his "girl."