The star won the 'Best Actress' prize from the festival jury for her portrayal of depressive Justine in the movie, but the film was arguably overshadowed by the director's quips following its premiere.
According to the Evening Standard, Dunst said of von Trier: "He says dumb stuff sometimes but not anything I had ever been offended by. It just came out wrong, that's not Lars at all.
"He was trying to make people laugh by telling the story of his life but it was not the right audience for it. He doesn't speak English that often, he's been in Denmark for a long time. It just didn't translate well."
She added: "I was upset, shocked and angry but, at the end of the day, he is still my friend."
Von Trier was banned from the film festival for his comments, despite apologising several times for his remarks.
Dunst thanked the Cannes organisers for still allowing the film to remain in competition despite its director's ban.
Von Trier later said that his comments were "unintelligent, ambiguous and needlessly hurtful".
> Read our review of Melancholia
> Lars von Trier talks Hitler, porn and Melancholia
> Lars von Trier was "carried away" in Nazi conference
> Lars von Trier's Melancholia: In Pictures
Watch Lars von Trier's joke about Nazism in the Melancholia press conference below: