"I want to go back to India. I don't want to go to Zimbabwe," he told reporters as he was being taken for interrogation on Thursday.
Rajan had earlier told the Bali Police that he wanted to go to Zimbabwe and was afraid that he would be killed in India.
The 55-year-old gangster, , who has 71 cases of murders, extortion and drug trafficking against him in Mumbai, has also claimed that he didn't surrender.
Bali Police Commissioner Reinhard Nainggolan had told NDTV that Rajan was desperate to go to Zimbabwe and didn't want to go to India because his "wife and father are dead." His wife, however, is alive and lives in Mumbai.
"He asked us to release him as he wanted to go to Zimbabwe. He said that he lived in Australia and before that in Zimbabwe and wanted to go there," the officer said, adding that the gangster was "nervous and smokes constantly."
Rajan has been hunted by the police in many countries after an Interpol Red Corner notice in 1995.
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