Guzman, who had twice escaped jail, was recaptured on Friday by the Mexican authorities, who said it could be possible because he was reaching out to actors and producers for a biopic on his life, said the Hollywood Reporter.
Penn's interview with the drug lord was published by Rolling Stone magazine yesterday.
The actor travelled through Mexican jungle to meet with the drug lord in October. Guzman wanted Mexican actress Kate del Castillo, who facilitated Penn's interview, to be involved in the process. She was the same person who Guzman's people had contacted for the movie.
Guzman told the Oscar-winner that he had begun to grow marijuana and poppies to improve the fortunes of his impoverished family while he was just 15.
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"I supply more heroin, methamphetamine, cocaine and marijuana than anybody else in the world. I have a fleet of submarines, airplanes, trucks and boats," he told Penn.
Guzman does not consider himself a violent man despite the bloodshed involved in amassing his fortune, saying, "Look, all I do is defend myself, nothing more. But do I start trouble? Never."
Mexican government sources said Penn and del Castillo "are under investigation for their 'interview' with Guzman", according to ABC News.
It is unclear if Penn's interview led authorities to Guzman.