"I have a terrible regret," Penn told CBS This Morning co-host Rose in the interview recorded late Thursday in Santa Monica, Calif.
"I have a regret that the entire discussion about this article ignores its purpose, which was to try to contribute to this discussion about the policy on the War on Drugs."
Guzman was recaptured last week, six months after staging a spectacular prison break through a tunnel in his cell floor. While on the run, Guzman met secretly with Penn at a jungle hideout — a move the government says was "essential" to his capture.
The article based on the interview by Penn, 55, was published in Rolling Stone magazine on Saturday, and quotes Guzman boasting about his drug shipments and the laundering of money through major Mexican and foreign companies.
The actor refuted claims that his interview led to El Chapo's arrest.
"There is this myth about the visit that we made, my colleagues and I with El Chapo, that it was... 'essential' to his capture," Penn said.
He said he had met with Guzman "many weeks" before and in a location far from the capture.
Mexican officials wanted to encourage drug cartels to blame Guzman's capture on the meeting, Penn said, because the government was embarrassed that Penn and his coworkers found the drug kingpin before they could.
Penn said he could be in danger but was not afraid of potential threats.
He did not say who had organized the meeting with Guzman, but said he had a contact "facilitate an invitation."