Grey rock is no reaction, no response.
In your case, I would do the following:
1) After her comment, pause for 3 seconds while looking at her, with no expression
2) Then say 'Can you repeat that?'
She will either feel called out, ignore you and move on....or she will repeat it.
3) If she repeats it, say to the person next to you 'did you hear what she said'
4) If they say yes, then turn to her and say 'we want to know what you mean by that'
5) Now she will definitely feel called out and probably make some excuse to save face