Markovic gave a statement to CNN after the ICTY announced that Milosevic was found dead in his cell on Saturday.
The US television network did not say how it contacted Markovic or revealed her whereabouts. Markovic fled Serbia in February 2003 ahead of her trial for economic wrongdoings and before the assassination of Serbian Prime Minister Zoran Djindjic.
Markovic is banned from entering the EU.