He denied any "impropriety" with Wendi, adding it was "not something I will ever talk about. I haven't and I won't."
Tony Blair was quizzed about the nature of his relationship with Wendi Deng
Mr Blair made headlines around the world last year following allegations he had had an affair with Wendi Deng, after which Rupert filed for divorce in June 2013 after 14 years of marriage.
While Mr Blair has refused to discuss the claims, Mr Murdoch has been more forthcoming. In April, the Australian media mogul spoke for the first time about his divorce, and claimed that Mr Blair had spent weekends with Wendi at his family’s ranch in California.
He said he had been in Australia at the time, and immediately flew back to the ranch. "When I got back, I naturally asked the staff, and it opened up," he told Fortune magazine. "That's the story. And then, you know, a week later I filed (for divorce). As soon as I could find a lawyer."
Rupert Murdoch and Wendi Deng
Mr Murdoch also said he had been "shocked" when he was made aware of Wendi's diary entries. In these she described having "warm feelings" comparable to a "crush" on Mr Blair, who allegedly stayed at the ranch with her in October 2012, and April 2013, while her husband was abroad.
It is thought that Mr Murdoch has ended his friendship with the former British leader, who is a godfather to one of the former couple's daughters. Mr Blair has always denied having an affair with Wendi, and there has been no evidence to suggest he did.