Devgn, 47, whose film "Shivaay" is pitted against Karan Johar's "Ae Dil Hai Mushkil" at the box office later this month, said he is not worried about its release in Pakistan.
This is the time to stand by the nation, he said.
Fawad Khan has a special role in "Ae Dil Hai Mushkil'.
When asked if he will share screen or any artistic space with any Pakistani artiste, Devgn said, "Not at the moment. I am very clear on this because you are an Indian first. I don't care if my film doesn't release in Pakistan. Their artistes are standing by their nation. They are earning here but are sticking by their nation. We should learn from them."
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They have also threatened to stall the release of "Ae Dil Hai Mushkil" and Shah Rukh Khan's "Raees", starring Mahira Khan.
The Indian Motion Picture Producers Association (IMPPA) has also passed a motion to ban artistes from across the border till Indo-Pak relations are normalised.
In an interview, Ajay told CNN-News 18, while he understands one should not compare artistes with terrorists, when the ties between India and Pakistan are strained, it is "not possible to talk about exchange of art and culture".
Salman Khan and Karan Johar had said banning Pakistani artistes from working in Bollywood was not a solution but there are many in the industry who have supported such a move in the wake of rising tension between the two countries.
When asked about his take on Salman's and Karan's comments on the matter, Ajay said, "It's saddening. You need to take a stand."
Minutes after the interview, Ajay's actress-wife Kajol heaped praise on him by tweeting, "So proud of my husband for taking a non-political and correct stand."