"I did not surrender," he told reporters when asked about speculation that he had given himself up to police after facing threats to his life from rival gangs, including one from Dawood Ibrahim and under a deal with Indian intelligence agencies.
He also denied he was scared of Dawood.
There is intense speculation that the arrest of the gangster, who is wanted in over 75 heinous crimes ranging from murder, extortion to smuggling and drug trafficking, was part of a "deal" with Indian security agencies.
55-year-old Rajan, whose original name is Rajendra Sadashiv Nikhalje, denied that he wants to go to Zimbabwe, where he is reportedly have businesses.
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"I don't want to go to Zimbabwe," he said.
Mumbai-born Rajan, once a close confidante-turned-rival of underworld ganglord Dawood, said that he was not afraid of Dawood, the prime accused in the 1993 Mumbai serial blasts case.
"I am not afraid of Dawood. I am waiting for the CBI to come here," he said.
Bali Police sources said Rajan was interrogated by its sleuths for six hours today and further questioning is likely to take place soon.
Bali Police Commissioner Reinhard Nainggolan said arrest of Rajan was a serious law enforcement operation under the supervision of the Interpol.
Rajan, one of India's most wanted gangsters, was arrested in this popular Indonesian tourist destination on a Red Corner Notice issued by Interpol after eluding law enforcement agencies for over two decades.