TMZ has published a video of the actor, who is out for a walk with his wife Hilaria.

He says Santa Fe police have urged him not to comment on the ongoing investigation.

- It is an ongoing investigation where a woman died.

That, of course, is a shock to me.

She was my friend.

The first day of the filming, I had dinner with her and the director, he says.

Wants to increase security

Baldwin says the incident is very unusual, given that shots have been fired at filming many times.

- Accidents happen during recordings, but nothing can measure up to this.

This is a one in a million incident.

One in a trillion.

He also opens up that the incident could lead to new rules for weapon handling at filming locations.

- It is not up to me to decide, but there are fake weapons, rubber pistols, plastic pistols.

I'm not an expert, but I think it's a good idea to increase security and protect people during recordings, he says.

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This has happened: Fatal accident during the filming of Rust.

Photo: AP / TT