He allegedly spoke to Kim Myers, a friend of Reeva Steenkamp, asking: "How can you sleep at night?"
A lawyer for the Myers family, who were close to Steenkamp, said Ms Myers told him Pistorius made the comment to her "in a very sinister way". A reporter said he overheard the remark from the athlete.
Lawyer Ian Levitt said he had contacted court officials. He said Ms Myers told him she did not know what the comment referred to and she was shocked.
Pistorius denied the claims by Ms Myers, who has been present for much of the trial.
Mr Levitt said: "My client views this unwelcome approach as extremely disturbing and I have been in communication with the national prosecuting authorities.
"It's important to confirm this. It was in front of witnesses."