A witness said the comment by Colin Coats after Lynda Spence's disappear-ance was the "most horrific" thing he had heard.
Tony Kelly agreed he was terrified of Coats and said the remark was intended to show "what he was capable of", the High Court in Glasgow heard.
A jury also heard claims that Coats spoke of needing a "medium" to contact Ms Spence and that another remark by him implied a body had been dumped in water.
Ms Spence, 27, has not been seen since leaving her parents' home in April 2011.
David Parker, 38, from West Kilbride, Paul Smith, 47, from Largs, Philip Wade, 42, from Glengarnock, all North Ayrshire, and Coats, 42, from Glasgow, are on trial accused of abducting, torturing and murdering her. They deny all the charges against them.
The court has previously heard that Ms Spence ran a business called Fraser Property Management based in Glasgow's Great Western Road.
Financial adviser Mr Kelly, 46, a former employee, told the court that he met Coats about a fortnight after he last saw the missing woman to discuss her financial dealings. He claimed Coats told him that Ms Spence owed him money and that he had killed her "the previous Thursday".
Questioned by Solicitor General Lesley Thomson QC, he agreed it had taken him some time to disclose the information to police, telling the court he was "scared".
Derek Ogg QC, defending Coats, said to Mr Kelly that what had actually been said by Coats was 'Forget it. I'm glad to be rid of her'. Mr Kelly replied: "I don't think so."
Mr Ogg suggested the witness had "upgraded" the comment to an alleged confession when he gave a statement to police in November 2011 – something Mr Kelly disputed.
Mr Kelly admitted he was "under a lot of pressure from police at the time" but denied he had been pressurised to "come up with something incriminating".
Mr Ogg also put it to Mr Kelly that he was "up to (his) neck in Lynda's fraudulent activities". "Absolutely not," the witness replied.
The trial, before Lord Pentland, continues.