During a press conference on Monday, the 38-year-old multi-Grand Slam winner avoided answering a question about the Duchess of Sussex's announcement she and her husband, Prince Harry, are stepping down as senior members of the royal family and will be spending half their time in Canada.
According to The New York Times reporter Ben Rothenberg, another reporter asked: "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?"
Williams responded, "Yeah, I have absolutely no comments on anything with that. But good try. You tried. You did good."
Williams and Markle have been friends for years and the royal family member frequently attends Williams' matches in tournaments such as Wimbledon in London and the US Open in New York City. Williams also attended Markle and Harry's wedding in May 2018 with husband Alexis Ohanian.
On Saturday, Queen Elizabeth released a new statement regarding the status of "Megxit."
"The Duke and Duchess of Sussex are grateful to Her Majesty and the Royal Family for their ongoing support as they embark on the next chapter of their lives. As agreed in this new arrangement, they understand that they are required to step back from Royal duties, including official military appointments. They will no longer receive public funds for Royal duties," Buckingham Palace said in a statement on the official royal family website.
The palace continued: "With The Queen’s blessing, the Sussexes will continue to maintain their private patronages and associations. While they can no longer formally represent The Queen, the Sussexes have made clear that everything they do will continue to uphold the values of Her Majesty.
"The Sussexes will not use their HRH [His or Her Royal Highness] titles as they are no longer working members of the Royal Family. The Duke and Duchess of Sussex have shared their wish to repay Sovereign Grant expenditure for the refurbishment of Frogmore Cottage, which will remain their U.K. family home," the palace said.
The refurbishment reportedly cost £2.4 million, or approximately $3.1 million, the Daily Mail has reported.
"Buckingham Palace does not comment on the details of security arrangements. There are well-established independent processes to determine the need for publicly-funded security," it added.
Queen Elizabeth II simultaneously released a statement of her own voicing her support.
"Following many months of conversations and more recent discussions, I am pleased that together we have found a constructive and supportive way forward for my grandson and his family. Harry, Meghan and Archie will always be much-loved members of my family," she said.
"I recognize the challenges they have experienced as a result of intense scrutiny over the last two years and support their wish for a more independent life," the 93-year-old monarch said. "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.
"It is my whole family’s hope that today’s agreement allows them to start building a happy and peaceful new life," she added.
Fox News' Melissa Roberto contributed to this report.