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The couple may have to be secured by their own team when they attend the event later this week in what will be Meghan's first trip to Europe since they quit as senior working royals.
The Duke of Sussex was speaking in his role as 'chief impact officer' at coaching and mental health firm BetterUp, which has said that it is teaming up with the Invictus Games Foundation.
MEGHAN Markle will join the Duke of Sussex at the Invictus Games, a spokesman for the couple has confirmed.
Traditionally, the Dutch royal family hosts stays of foreign royals, but a spokesperson has confirmed no such olive branch will be extended to the Duke and Duchess of Sussex.
EXCLUSIVE: Harry and Meghan are likely to be given full protection by the Dutch police as the event will also play host to the King of Netherlands, Willem-Alexander and Princess Margriet.