He even suggested Ms Meagher's husband Tom had done it, according to court documents.
Bayley, a father of four, has been committed to stand trial charged with murdering the 29-year-old in Melbourne on September 22 last year.
The 41-year-old is accused of dragging her into a laneway off Hope Street in Brunswick before raping her three times and strangling her.
According to a police statement by Bayley's girlfriend tendered to the Melbourne Magistrates Court, Bayley told her he did not want her walking alone at night.
The pair was watching news reports about Ms Meagher when his girlfriend expressed shock about how close the crime scene was to their Coburg home, she said.
"I said, 'Oh my God.' I said, 'Hope Street is just around the corner from here. It's so dangerous at night, you know," she said.
"I said, 'Oh she's pretty' and 'You know, she's you know, works for ABC."
"He goes, 'Yeah that's why I'm saying that this place is not safe ... don't walk alone at night, go to the gym or anything like that. No, don't walk to the gym ... take the car ...' he goes, 'because you have to be safe and all that,'."
The girlfriend said she and Bayley had discussions about the case after reports emerged that Ms Meagher's handbag could have been planted in the laneway.
"He goes, 'Maybe it's the husband'," she said.
The girlfriend said she was approached by police at work on September 27 and shown CCTV footage of a man walking along Sydney Road.
She identified that man as her boyfriend, Adrian Bayley.
She said she remembered that earlier that day, while washing Bayley's clothes, she had come across a broken mobile phone SIM card.
The woman told police Bayley had received a bruise to the bridge of his nose on the night of Ms Meagher's disappearance, but he had told her he had got into a fight with some men in the city.
A few days after Ms Meagher's disappearance, Bayley had taken a day off work to get his white Holden Astra put in his girlfriend's name, she said.
Police allege Bayley used that car to transport Ms Meagher's body to a roadside in Gisborne South, on Melbourne's outskirts.
There, he used a shovel to dig a hole and bury her, the prosecution alleged during the committal hearing.
The court has heard Bayley's employment at the time was to dig holes for the lining of piping.
The woman said she and Bayley had gone out with his work colleagues on the night of the alleged murder, arriving at the Quiet Man pub at 7pm.
From there, they went to Lounge Bar on Swanston Street where the pair had an argument.
The woman left and caught a taxi home, saying she ignored Bayley's repeated calls and texts for the rest of the night.
Prosecutors say Bayley left the bar at 12.25am, caught a taxi home and changed into a blue hoodie jumper.
They say he arrived at Sydney Road in Brunswick about 1.30am when Ms Meagher began walking along that road to get home.
CCTV footage shows a man, allegedly Bayley, running towards Ms Meagher as she walks home.
"The accused has run up from behind the deceased before slowing to a walk as he approached the deceased," the prosecution summary alleges.
The girlfriend said Bayley arrived home between 6.30am and 7am on Saturday, September 22.
He told her he had washed and cleaned the Holden Astra and spent the Sunday working on the car to make sure it was roadworthy before putting it in her name, she said.
