"Hearts go out to his family", Turnbull told Australia's Seven Network television.
Earlier on Thursday, Australia's Department of Foreign Affairs and Trade (DFAT) said it was providing "consular assistance" to Simpson's family who had "requested privacy at this time".
At about 1.40am local time, the pair then headed back outside to the terrace, when Mr Simpson then told the man to play a "trust" game with him, before slipping and falling over the edge.
A party-goer is thought to have become angry with Simpson after he swung his wife around at the Big Apple bash to celebrate Australia legalising gay marriage on Wednesday.
Mr Simpson had been out with his wife and friends before they returned home to admire the view of the Empire State Building on the night of the tragedy.
Foreign Minister Julie Bishop also received support from Simpson while overseas.
Sources told the Post that investigators do not suspect any foul play, and everyone who police interviewed admitted to drinking alcohol that night.
At least three killed in California school shooting
A school official confirmed injuries following a shooting, but did not immediately provide further information. The shooter himself has been killed by police and several victims are now being treated at a local hospital.
Fairfax Media The Lower East Side apartment building in Manhattan, where Australian diplomat Julian Simpson fell to his death.
'It is a shocking tragedy, A young life lost'.
"I ask that the media and others respect the privacy of Julian's family at this hard time", she said.
Foreign Minister Julie Bishop said she was deeply saddened by Mr Simpson's death.
Simpson, a junior diplomat with the Australian Mission to the United Nations, was said to have been playing a "trust game" with an unidentified male house guest, according to the New York Post, citing unidentified police sources.
"I will prove it that you can trust me".
When he put her down, the group went back inside where the husband of the woman confronted Simpson over the appropriateness of his behaviour.
The 30-year-old, who was second secretary to the United Nations for Australia, landed on a second-storey terrace and was pronounced dead after being taken to hospital, NYPD officials said.
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