Addressing students at Yale University, Khan said, "Whenever I start feeling too arrogant about myself I always take a trip to America. The immigration guys kicked the star out of stardom."
He added that he always has his "small victories" even in such circumstances.
"They (immigration officials) always ask me how tall I am and I always lie and say 5 feet 10 inches. Next time I am going to get more adventurous. (If they ask me) What colour are you, I am going to say white," Khan said.
Khan went on to say that he was "detained at the airport as always."
"It was nice, as it always happens," Khan said with a slight smile even as students in the audience gave out a large sigh and booed the US authorities when they heard Khan telling them he was detained.
While Khan told the students he was stopped for about an hour and a half, sources said he was at the airport for over two hours.
They said he told them that this is not the first time he has been stopped at an airport in the country and this has happened to him "three to four times before."
The most recent one was in 2009 when Khan was detained at the Newark Airport in New Jersey.
Khan had said at the time he was detained for nearly two hours at the Newark International Airport because of his last name.
The private plane carrying Khan, Ambani and their group landed at White Plains Airport, which is about 53 kilometres from Manhattan, at around 12:45 in the afternoon.
Sources said while everyone with him cleared immigration soon, he was stopped and had to wait till 2:30 pm before he was cleared by the immigration.
The sources said since the White Plains airport is a small facility, everyone who was with Khan waited together for him to get his clearance.
The detention had caused "tense" moments for Khan and his team, who sources said were "struggling" to get the situation sorted out.
Khan did not mention anything about the detention during the nearly 20 minute press conference.
Members of his team as well as the university officials too did not talk about the reasons for his detention.
When contacted, Khan said through a member of his team that he would not make any comments on the episode. The person said Khan stressed that the American immigration officials "kick the star out of stardom," adding that the episode had left a bad taste.
Khan arrived for the press meet three hours behind schedule and his hour-long lecture started at about 6 pm.
The 46-year-old actor was to address a press conference at 2 pm and deliver his lecture at 4 pm at the Yale University.
Earlier, when informed about Khan being held up at the White Plains airport airport in New York, Yale University officials "contacted and spoke with officials at the Department of Homeland Security and Department of US Immigration and Customs in Washington," the sources said.
They added that Khan was "very very upset" at the episode and it "took time for the university officials to make him comfortable again."
The actor, who is scheduled to fly back to India later tonight, visited Connecticut-based Yale University, which had conferred him with its prestigious Chubb fellowship.
As part of the fellowship, Khan addressed a gathering of hundreds of Yale students, parents, faculty and other members of the Indian-American community at the Yale campus.
Before beginning his address to the students, Khan, dressed in a chic black suit, said that it had been a long flight and thanked Ambani for getting him to the US.
Ambani`s daughter Isha is a student at Yale and is also president of the South Asian Society at the university.
While Nita, wife of Reliance Industries Chairman Mukesh Ambani, and the rest of their group were cleared immediately, Khan was stopped and was given immigration clearance only after about two hours, sources told PTI.