No news articles, to the best of my knowledge, have reported that the couple are divorcing.
The interviewer and the Duke appear to be conflating two different things: news articles about their increasingly independent professional careers (a subject which the couple's own spokespersons have briefed about), and speculation by members of the public as to the state of their marriage.
From the article:
Harry was asked by the event's founder Andrew Ross Sorkin about the public's fixation on their relationship.
'They're fascinated Meghan is in California right now, and you're here. There are articles left and right about: 'Why are you making, doing independent events? Why aren't you doing them together?'
The Duke of Sussex then dismissed claims that he and Meghan are struggling.
'Apparently we've bought or moved house 10, 12 times. We've apparently divorced maybe 10, 12 times as well. So it's just like, 'what?',' Harry said laughing.
'It's hard to keep up with, but that's why you just sort of ignore it. The people I feel most sorry about are the trolls.
'Their hopes are just built and built, and it's like, 'Yes, yes, yes, yes, yes', and then it doesn't happen. So I feel sorry for them. Genuinely, I do.'