The 30-year-old, who was travelling in an ice cream truck, with producer Azamat (Ken Davitian) while filming the project, said the FBI got a lot complaints, reported Entertainment Weekly.
"(The FBI) got so many complaints there was a terrorist traveling in an ice cream van. So the FBI got so many complaints that they started compiling a little file on us and eventually they came to visit us at the hotel.
"I obviously went missing when I heard because they were like 'FBI's downstairs. Sacha, disappear'," Cohen said.