At the time of Marie Antoinette's death, she had 6 surviving siblings who were scattered in various places across Europe. Of those 6, she was closest to her sisters Maria Carolina and Maria Amalia.

In either late 1793 or early 1794 (the letter is undated, but must be between October 1793 and May 1794) Maria Carolina wrote to the princesse de Tarante:

I cannot be comforted for her tragic death, which I can still hardly believe. Great heavens! She who was so loved, and especially she who loved France and the French so passionately. How terrible has been her treatment at their hands! But let us draw a veil over these horrors, which my heart will never forget. Her children, the virtuous Mademoiselle Elisabeth, these I desire to save… All my thoughts are directed to this end, as by this course I should seem to pay homage, and give proof my attachment to [my sister’s] memory.

In July 1794, Maria Carolina wrote further to Adèle d'Osmond:

I ought to be forgiven if I hold in detestation a great nation which has [...] inflicted every conceivable barbarity, ignominy and atrocity on my unhappy sister.

I don't know of any mentions of her death in other sibling's correspondence that has been published. I would imagine that they did bring it up, and perhaps those mentions are to be found in archives, but unfortunately I haven't found them in any publicly accessible books.