Histone methylation at H3K4 and H3K36 is commonly associated with genes actively transcribed by RNA polymerase II (RNAPII) and is catalyzed by yeast Set1 and Set2, respectively. Here we report that both methyltransferases can be UV-crosslinked to RNA in vivo. High-throughput sequencing of the bound RNAs revealed strong Set1 enrichment near the transcription start site, whereas Set2 was distributed along pre-mRNAs. A subset of transcripts showed notably high enrichment for Set1 or Set2 binding relative to RNAPII, suggesting functional post-transcriptional interactions. In particular, Set1 was strongly bound to the SET1 mRNA, Ty1 retrotransposons, and non-coding RNAs from the rDNA intergenic spacers, consistent with its previously reported silencing roles. Set1 lacking RRM2 showed reduced in vivo crosslinking to RNA and reduced chromatin occupancy. In addition, levels of H3K4 tri-methylation were decreased whereas di-methylation was increased. We conclude that RNA binding by Set1 contributes to both chromatin association and methyltransferase activity.