"I don't believe in bringing your phone into church. ... My time in church is between me and God. I was there to pay my last respects to Jimmy. Understand that?" she told TV's "Inside Edition."
Asked if she left Thursday's service early, Baldwin replied: "I was feeling very faint. I am at the point in my pregnancy where I feel faint. I had to leave to get water. ... I paid my respects and left."
The Daily Mail newspaper reported Thursday Hilaria posted upbeat messages online while Gandolfini's heartbroken family and friends mourned his death.
Alec later took to Twitter to defend his wife and verbally attack a journalist who accused her of being insensitive.
In a series of Tweets, Alec Baldwin described the Daily Mail journalist as a "toxic Brit" and "toxic little queen."
He said he would "put my foot up your [expletive] ass, George Stark, but I'm sure you'd dig it too much" and "I'm gonna find you, George Stark, you and I'm gonna [expletive]...you...up."
As Baldwin came under fire by critics who called his remarks homophobic, his publicist issued a statement further dressing down Stark without addressing Baldwin's choice of foul words.
"It's disgraceful that a reporter would manufacture and publish a story and not call for comment or explanation -- especially when it's intended to take away attention from honoring the memory of a beloved figure like James Gandolfini," Baldwin's publicist said in a statement to KTLA-TV, Los Angeles.
Gandolfini died of a heart attack June 19 while on vacation with his family in Italy. He was 51.