The 30-year-old model was found dead at the Paralympic champion's home in Pretoria, South Africa in the early hours this morning.
Police have confirmed that a 26-year-old man, who is believed to be Pistorius, has been charged with murder and will appear in court at 7am UK time tomorrow.
"I don't know nothing," the Daily Mail quotes Henke as saying. "It will be extremely obnoxious and rude to speculate. I don't know the facts. If anyone makes a statement, it will have to be Oscar. He's sad at the moment."
Pistorius is alleged to have shot Steenkamp in the arm and the head.