Anwar had arrived at Narita International Airport on a personal visit early Sunday but was turned away by immigration officials, who cited his controversial 1999 conviction for sodomy and corruption.
Anwar speculated that "hidden hands" were behind the refusal, and his party questioned whether Malaysia's ruling coalition played a role.
But embassy official Tomoko Nagai said that while Japan last year lifted a requirement that Malaysians obtain visas to enter the country, Anwar is still required to have one due to his past criminal record.
"Japan could not consider a special arrangement for Anwar since we did not receive any prior application for a visa," she said.
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Anwar could not immediately be reached for comment.
The opposition politician was once heir-apparent to the leadership of Malaysia's ruling coalition but was cast from power over the sodomy and corruption charges - viewed by many as a set-up by his political enemies.
He was jailed in 1999 for six years.
Anwar said he was "puzzled and shocked" over being denied entry to Japan and demanded explanations from the Japanese and Malaysian governments.
Anwar said he had been invited by a Japanese NGO to deliver a speech on religious harmony.
Beginning with the 2008 elections, the ruling coalition has steadily lost ground in parliament to an Anwar-led opposition.
The opposition accuses the coalition of a long-running campaign of harassment including trumped-up criminal charges designed to smear Anwar and trip up the opposition's surge.