In an interview with Fox News, Cochran, who's being challenged by state Sen. Chris McDaniel (R-MS), was asked if he was worried about his own chances after Cantor's defeat.
"I don't know what you're talking about, what happened in Virginia?" Cochran said.
"With Eric Cantor losing his seat," Fox News said.
"Well I haven't really followed that campaign very closely at all," Cochran said.
Fox News then asked if Cochran was saying he had no comment on the outcome.
"No, I didn't make a comment. You asked me what happened. I don't know. I didn't follow that campaign very closely," Cochran said.
When Fox News told Cochran that Cantor also stepped down as majority leader Cochran said that lawmakers aren't guaranteed re-election.
"Yeah well it happens. Uh, you know, members of Congress -- some win, some lose," Cochran said. "It's not an automatic proposition that you get reelected just because you've done a good job. Voters make their own decisions and I respect their judgment."
In a different interview a day earlier, Cochran more directly addressed the Virginia primary when asked about Cantor's defeat.
"That's politics," Cochran told Mississippi's WAPT.
"I think there was a lot of surprise everywhere on the size of the victory and the fact that the leader couldn't defend his service in Congress," Cochran said. "So what else is new in politics? Some people win, some people lose."
Watch the video below:
This post was updated.