Sinha, who is going to complete his extended-term on March 1, was in the national capital to attend an event.
"It is for the first time that I am travelling in the metro. It is very good. I will be able to avoid traffic on roads," he told PTI.
The chairman of markets regulator - Securities and Exchange Board of India (Sebi) - took the metro rail from Indira Gandhi International Airport station to Shivaji Stadium.
During the course of about 10-minute journey Sinha was seen interacting with a few officials accompanying him trying to understand the metro routes and its functioning.
Days before the end of his tenure in February this year, he was given another extension till March 1, 2017.