Jenner revealed the news during an appearance on ITV's "I'm A Celeb."
Jenner is of course distraught over not having contact with Khloe during the past few years.
"We were really close, I raised her since she was five years old, I really don’t know what her issues are," she says.
In 1991, Caitlyn Jenner married Kris Jenner, and was a step-parent to Kim, Khloe, Kourtney and Rob for more than 20 years. Caitlyn and Kris broke up in 2014, a year before she revealed she was transgender.
Caitlyn said when she decided to transition from a man to a woman, she first told her children.
"The first was the kids, I started with Brandon my son and he said to me: 'Dad, I’ve always been so proud to be your son but I’ve never been more proud of you than right now.' "
Jenner says most of her family was supportive of her decision to transition, but Khloe, for some reason, was "p**ed off." Jenner says she doesn't know why.
"I went through every kid and Khloe for some reason was p***ed off about something through this whole process, it’s been five or six years and I really haven’t talked to her since," Jenner says.
Khloe Kardashian hasn't kept their estrangement a secret. In October, she and Brody Jenner avoided Caitlyn Jenner's 70th birthday bash.