She admitted that "no seat is safe" in this election, even hers with a 20,000-plus majority.
But the Business Secretary insisted the Tories can turn it around despite Reform's pitch for her party's voters.
Ms Badenoch spoke out as Nigel Farage held a bombastic rally and one of his candidates defected to the Conservatives, over the racism row that has engulfed Reform. Mr Farage is also under fire for his stance on Ukraine.
Ms Badenoch told GB News: "It does hurt. It is a difficult election.
I'm fighting my seat like it's a marginal. Normally it would be a very reliable Conservative seat.
"There is no safe seat in this election. All of my colleagues are fighting like we are fighting marginals. I have a strong record locally. I think that it is going to be fine.
"But when I knock on doors I am meeting former Conservative voters voting Reform, and it breaks my heart because I know they are not going to get what they think they will get.
"I think we can still turn it around. What I would say to those voters is 'I understand'. We have all had our frustrations, even those of us who have been in Government.
"We think immigration is too high. The Prime Minister thinks immigration is too...but we are bringing it down."
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