Some researchers have speculated that high-heeled shoes may be to blame.
The women in the study were quizzed on details of their height and weight when they left school, between 36 and 40 and between 51 and 55.
They were asked about injuries, their jobs, smoking and use of contraceptive hormones.
However, while many of these factors were linked to an increased risk over the years, tottering around in high heels for years was not.
The researchers wrote: "Most of the women had been exposed to high heeled shoes over the years --nevertheless, a consistent finding was a reduced risk of osteoarthritis of the knee."
There was an even more pronounced link between regular dancing in three-inch heels and a reduced risk of knee problems.
The researchers described this finding as "surprising", but said that they would not expect a larger-scale study to overturn their findings.