"We always thought he would come back (from the hospital). We are in shock right now," Hema told a TV news channel.
Rajesh Khanna died at his Bandra residence Wednesday after a prolonged illness. He was 69.
Talking about her last meeting with the superstar, the actress said: "We met at Apsara Awards, at the celebration of 100 years of cinema. He spoke to us and he talked properly and looked fine."
"I have worked with him in many films but right now this is a very sad moment and I must go and meet his family members," she said.