The farm labourer appeared on the documentary show earlier this year to speak out against arranged marriage.
Khan told NDTV: "When I got to know that Abdul has been killed, we felt very sorry.
"We had raised his issue, we had interviewed him. I had seen how afraid they were. I am very anxious about the safety of his wife and I have talked to the police and I have been assured about action in the matter."
Mahvish Monday, Hakim's wife, has accused her family of the murder, which happened last week.
The actor was honoured in October for "highlighting social injustice" on the popular television series.
Khan was described as the country's first ever superstar activist by Time magazine earlier this year.