The 38-year-old tennis pro competed in the Australian Open on Monday when one reporter asked her about the Duchess of Sussex.
"Your good friend, Meghan Markle, who attended your last two slams, and Harry, have taken a move, a stance that many people think is extraordinary and historic. What are your feelings about that? Have you spoken to her?" the reporter asked according to The New York Times reporter Ben Rothenberg.
Williams didn't take the bait, replying, "Yeah, I have absolutely no comments on anything with that. But good try. You tried. You did good."
Markle, a longtime pal of Williams, has had a headline-making couple of weeks. The Duchess of Sussex and her husband, Prince Harry, announced their decision to step back as senior members of the royal family. This led to a lot of back and forth between the couple and the royals over the past week.
Last week Queen Elizabeth II announced that the family had come to an agreement and that Harry and Markle would be stripped of their HRH titles and would repay the money they used to refurbish their Frogmore Cottage home in Windsor, England.
"I want to thank them for all their dedicated work across this country, the Commonwealth and beyond, and am particularly proud of how Meghan has so quickly become one of the family," the Queen said in her statement. "It is my whole family’s hope that today’s agreement allows them to start building a happy and peaceful new life."