But the first lady shrugged off charges of hypocrisy to promote her anti-bullying initiative during this month's solo trip to Ghana, Malawi, Kenya, and Egypt.
But in her interview with ABC News, Trump said she never discussed the matter with Giuliani.
The first lady, who has mostly been reserved during her time in the White House, revealed in the interview series that she doesn't hesitate to offer her husband advice and opinions on political matters.
Melania also said there are people now in the White House she doesn't trust and who do not have her husband's best interests in mind.
'I know people like to speculate and media like to speculate about our marriage'.
"One of them - if you really see what people [are] saying about me".
Twitter users aren't feeling so sympathetic.
Tropical Storm Michael forms; Fla. governor to declare emergency
Depending on how quickly this system moves northward, the center of Michael could approach the Gulf Coast as soon as late Tuesday. As of 5:00 pm EDT, Tropical Storm Michael is about 190 miles south southwest of Cuba with sustained winds of 50 mph.
After a pause, the first lady admitted it's "not always pleasant" when the media speculates about her marriage but she knows the truth behind the rumors.
Asked why Giuliani would have made that claim about her, she retorted: "I don't know".
"Yes, we are fine", she said.
Earlier this year, The Wall Street Journal confirmed that Michael Cohen, Trump's former personal attorney, paid adult film star Stormy Daniels $130,000 to refrain from sharing the details of her affair with the presidential candidate ahead of the 2016 election.
'It's what media speculate, and its gossip. "But I know what is right and what is wrong, and what is true or not true". "You need to ask him".
On the 2005 Access Hollywood tape that emerged during his 2016 presidential campaign, Mr Trump said when he is attracted to lovely women "I just start kissing them. It's not always correct stuff".
Tune in tonight at 10 p.m. EST for more of the ABC News special "Being Melania - The First Lady".