"It is just a question - I'm not insinuating anything," Depp said, according to the Guardian. "By the way, this is going to be in the press. It will be horrible. I like that you are all a part of it."
Depp continued: "When was the last time an actor assassinated a president?"
It was 1865, when John Wilkes Booth killed President Abraham Lincoln.
"I want to qualify, I am not an actor. I lie for a living," Depp said. "However, it has been a while and maybe it is time," he said.
Depp was originally at the event to introduce his 2004 film, "The Libertine," a movie about the second Earl of Rochester, with director Julian Temple.
Similar suggestions have propagated since Trump won the 2016 election.
The Public Theater in New York recently staged Shakespeare's Julius Caesar depicting President Donald Trump as Caesar, complete with over-the-top blond hair and a wife with a Slavic accent. Caesar is later assassinated in the production.
Comedian Kathy Griffin received fierce criticism last month for her depiction of a fake severed head that resembled Trump.