As Russell McCaughey made the cheeky comment that there would be no grand glam for England, the rugby-crazy Prince replied, "I don't think there'll be one for anyone this year".
England's loss also intensified the royal sibling sporting rivalry between Harry and brother William, with the Duke of Cambridge a keen supporter of Wales.
The pair will have plenty to debate as their four-day visit in Morocco to meet the Moroccan royal family comes to a close.
Meanwhile, England head coach Eddie Jones said his focus would be on improving his side's attack as they prepare to face Italy next week.
"Full credit to Wales - they deserved the victory and played very well," he said.
"We gave away far too many penalties and they beat us in the air.
"It was a tough game. I don't know whether we lost our heads but they put us under a lot of pressure. A few of our players were a bit off today and that happens."