Addressing selection criteria I am applying for PhD scholarship and there is selection criteria and I have to respond to each of them. One criterion is given below.

•   willingness to collaborate and engage closely with industry partners.

The question is, how can I respond that criterion. Not to mention, I have no experience with industrial partners
It asks for willingness, not experience. A simple statement that you are, indeed, willing to work with people from anywhere, industry or otherwise, if it advances the art and the science is enough. Provided that you believe that, of course. 

But you also need to be aware that industry partners have their own agendas and they aren't always aligned with dissemination of knowledge. But, as a student, you should be able to get good advice from advisors about how to deal with such things. 

Collaborative relationships are generally good as long as they aren't exploitative. So, the advice is to be open, but keep a certain wariness.