Later during Monday night's show, the comedian also slammed shock jock Alan Jones over his "bullying" interview with Opera House chief Louise Herron, during which he threatened to have her sacked unless she changed her mind about opposing the Everest Cup horse racing advertisement.
"This isn't about gambling, it's the fact that the Sydney Opera House have a charter, and they've been forced to change that charter and that interview with Alan Jones — and it's almost a side issue — but that was disgusting," Helliar said angrily.
"That was so disgusting. To hear a woman bullied … and (NSW Premier) Gladys Berejiklian — even if she had nothing to do with it — shouldn't have gone ahead with (approval of the Everest projection). She should have changed her mind to send a message."
But Price refused to be drawn into criticism of his Macquarie Radio colleague.
"You've put me in a difficult position because that's a colleague of mine and I don't intend to sit here and pass judgment on Alan Jones, that's not what I'm going to do," he said flatly.
"I don't do it about any of you guys when I'm on the radio and I won't do it about the people I work with."
"So you're comfortable with it, yeah?" Helliar pressed him, prompting a blank stare and awkward silence from Price, which was only broken when Waleed Aly chimed in: "Oooh, the ice from Pete!"
Meanwhile, death threats and protest plans have reportedly forced police to upgrade security around tonight's planned light show at the iconic Sydney venue.
"Some people have issued death threats and violence — we can have differences of opinion but I don't think it's necessary to resort to that type of thing," Racing NSW CEO Peter V'landys said on Monday night.
"Everyone's entitled to protest but make sure you protest without violence. This is not a permanent display — it's six minutes."
An online petition opposing the decision had already amassed more than 235,000 signatures as of Tuesday morning. It calls for people to help "protect" the cultural building from Jones and his "gambling mates", and is expected to be delivered to the Premier today.
Meanwhile, Prime Minister Scott Morrison has thrown his support behind the idea to use the Opera House to promote the world's richest race on turf, describing it on Monday as a "no-brainer".
"It's not like they're painting it on there. I mean, it's lights flashing up there for a brief moment of time," he told 2GB.
"I don't understand why we tie ourselves up in knots about these things."
Earlier, Mr Morrison had said he'd put the Bathurst 1000 motor race on the Sydney Harbour Bridge if it drove up attendance.
"This is one of the biggest events of the year. Why not put it on the biggest billboard Sydney has?" he told reporters in regional NSW on Sunday.
The Prime Minister also rejected suggestions it was promoting gambling.
"We're talking about an event that is one of the big money spinners for the state. It creates jobs. This isn't about advertising a packet of chips, this is about advertising one of the biggest events that NSW holds," he said.
"Frankly, I thought it was a no-brainer. I can't work out what all the fuss is about."
