The backpacker murderer died in Long Bay jail's hospital on Sunday morning after being diagnosed with oesophageal and stomach cancer in May.

Lynise Milat, 54, says she is "depressed" even though her father was "never there for me", The Daily Telegraph reported.

"I am really depressed over the whole thing. Everything about Ivan made me depressed," Ms Milat said.

"He was my dad ... who isn't sad when they lose their dad?

"The whole world might be happy that he's gone but I'm not. I've lost my dad."

Detectives interviewed Milat eight times in jail and hospital in the weeks before he died, the Nine Network reported on Monday.

"You could put a blowtorch to me ears or eyes or whatever and ... I can't help ya," Milat told detectives.

He insisted there was no evidence against him.

"No one can tie me in with the murder weapon, you know, with the murders," he said.

Milat was sentenced in 1996 to seven consecutive life sentences for murdering seven backpackers whose bodies were found in makeshift graves in the Belanglo State Forest in the 1990s.

He is suspected of having committed many more murders, including the killings of at least three people whose bodies were found in three other forests between 1971 and 1991.

But he told the detectives he could not tell them anything about the deaths of three women in the Newcastle area.

He wrote a one-page letter on Thursday to his brother Bill and sister-in-law Carol with instructions for it to be sealed until his death.

In it, Milat insisted the NSW government should pay for his funeral.

"Please don't pay for my funeral services or contribute in any way," the 74-year-old wrote.

Milat signed off the letter with his name and a small illustration of a figure with a halo above the word "innocent".

A Corrective Services spokeswoman on Monday said it would "under no circumstances" be paying for the funeral.

Australian Associated Press