Saturday, October 13, will mark the Everest Carnival at Randwick Racecourse. The Everest Carnival is the world's richest horse race with $13 million in prize money.
Price was supporting the use of the Opera House sails to promote the huge event.
“It’s a few lights flashed up on the sails briefly, there’s no graffiti, it’s not advertising, it’s promotion of a NSW sporting event,” Price said.
He then got more personal, saying the Melbourne-based comedian Helliar should not have a say on the issue, as he didn't live in Sydney.
"You’re so obsessed with this story!' Price began, to which Helliar replied, "I am! It made me angry".
Price quickly snapped: "You don’t even live in Sydney. You didn’t even pay for the Opera House - I did".
Helliar then scoffed, "You paid for the Opera House? There's your headline. You’re a w**ker".
Over 230,000 people have signed a petition against the promotion, in which the names of the competing horses and the colour of the jockeys' silks were projected onto the Opera House.
Prime Minister Scott Morrison supported the advertising, describing it as a "no-brainer".
"This is one of the biggest events of the year why not put it on the biggest billboard Sydney has," the PM said on Sunday.