Alexa Ray Joel says she is standing by her dad Billy Joel, who announced Wednesday that he is splitting from his third wife, Katie Lee.

"I was the first person that he came to [with the news]," she told Wednesday at the 6th Annual Wayuu Taya Foundation Gala in NYC. "You can't just trust everybody, and I like knowing that my father can talk to me in the same way that I come to him. I'm just supporting him right now."

Reports have linked Lee, 27, to 36-year-old Israeli-born fashion designer Yigal Azrouel, who has frequently escorted her to events.

But a source tells Us that "had nothing to do" with the split and that Joel, 60, and Lee had just grown "apart" after five years of marriage.

Alexa Ray tells Us she "wasn't surprised" when she heard the split news. "I have a pretty good women's intuition, so I can tell," she said. "I know my dad pretty well, so I'm behind him."

Alexa Ray's mother Christie Brinkley went through a rough divorce last year with ex Peter Cook.

So have her parents' rocky love lives changed her views on marriage?

"I am a true romantic - I would love to get married," Alexa Ray told Us. "The government doesn't necessarily have to get involved. You can just celebrate your life and have a wedding and have it big and fabulous and not necessarily complicated, with the papers and all that. Having seen what I've seen, I'll be skeptical, sure, but I will be having a wedding."