Lucy Letby, 33, made the remark amid a series of collapses of infants at the Countess of Chester Hospital's neo-natal unit, Manchester Crown Court heard.
GP Lucy Beebe told police she saw a tearful Letby in conversation with a colleague in one of the care rooms at the unit.
Giving evidence on Friday, Dr Beebe said: "I remember Lucy crying with another nurse and it was very much of the gist of 'it's always me when it happens, my babies, it's always happening to me a lot'."
Prosecutor Philip Astbury asked: "Who was saying that?
Dr Beebe replied: "Lucy."
Mr Astbury said: "You can't remember precisely when that was?"
"No," said the witness.
Dr Beebe said she cared for a premature-born girl, Child I, during her spell as a GP trainee doctor at the Countess of Chester.
The Crown say neo-natal nurse Letby murdered Child I in the early hours of October 23, 2015.
It was said to be her fourth attempt to deliberately harm the baby after earlier bids on September 30, October 13 and 14.
Dr Beebe said: "I recall (Child I) because it was unusual that she was seemingly well and then became unwell.
"In my memory I felt like she was shipped out to a tertiary centre, made a rapid recovery and then was brought back very quickly.
"It certainly stuck in my memory because it had never happened to a baby I had been involved in the care of before or since, at any of the neo-natal units I worked at."
Asked about her reaction to Child I's death, she replied: "Shock and frustration at the time because on reflection I felt there was something else going on with (Child I) that we were not getting to the bottom of.
"It was sad because I remember the family and the whole situation was just very sad and frustrating."
Dr Beebe agreed with Ben Myers KC, defending, and also told police, that Letby's tearful exchange "seemed a pretty normal reaction" given the upsetting events at the hospital.
Letby, originally from Hereford, denies murdering seven babies and attempting to murder 10 others between June 2015 and June 2016.