"I don't know nothing. It will be extremely obnoxious and rude to speculate. I don't know the facts," he told SABC radio news.
"If anyone makes a statement, it will have to be Oscar. He's sad at the moment."
Gauteng Police had earlier arrested Pistorius and opened up a murder investigation.
30-year-old Reeva Steenkamp was allegedly shot dead in the early hours of Thursday morning at the sprinter's home at Silver Woods Country Estate in Pretoria.
Pistorius was being held at Boschkop police station but has since left.
According to the Sapa news agency, he left the station with a jacket over his head and was bundled into a car that sped off.
The double amputee is one of South Africa's national icons and was born without a fibula in both legs.
Police said a 26-year-old was expected to appear in the Pretoria Magistrate's Court on Thursday.
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