"We found ourselves saying to each other, 'Can you imagine if the world really knew the stupid things we say?' I'm not going to tell you what we actually talk about, but yeah, we're very, very close and sometimes we do quote the odd Titanic line back and forth to each other, because only we can, and we find it really funny," she added.
The two actors regularly spend time together and most recently were spotted holidaying in the south of France.
And while the pair clearly make each other laugh, the humour in their friendship has been there even since Titanic.
In a 1997 interview with Entertainment Tonight, not long after Titanic hit cinemas, DiCaprio sang the praises of his British co-star and addressed their on-screen chemistry.
"She's such a terrific person in general that our chemistry naturally happened on screen. We just like each other as people. As far as doing a love scene, though, we laughed about it a lot," he said.