He told Press Trust of India news agency that he was detained because his name came up on a computer alert list at Newark Liberty International Airport in New Jersey. However, U.S. customs officials told The Associated Press that Khan was questioned as part of a routine process that took 66 minutes.
"I told them I am a movie star," Press Trust quoted Khan as saying.
The reported detention made top news on TV stations in India.
Kahn told reporters in suburban Chicago on Saturday that he did not want an apology from the U.S. government. Asked about what happened, he simply said: "I think it's a procedure that needs to be followed, but an unfortunate procedure."
Kahn made his comments after appearing at an Indian festival in Rosemont and did not mention the incident in his remarks to the crowd.
U.S. Bureau of Customs and Border Protection spokesman Elmer Camacho said Kahn was not detained.
"His documents and papers were checked, which were found to be in correct order, but it took a little longer because his bag was lost by the airline."
Jen Friedberg, a spokeswoman for the Port Authority of New York and New Jersey, which operates the airport, said the agency did not request that Khan be detained.
In New Delhi, U.S. Ambassador to India, Timothy J. Roemer, said the U.S. Embassy was trying to "as certain the facts of the case -- to understand what took place."
"Shah Rukh Khan, the actor and global icon, is a very welcome guest in the United States. Many Americans love his films," Roemer said Saturday through an embassy spokesman.
Khan, 44, has acted in more than 70 films, and has consistently topped popularity rankings in India for the past several years.
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