He told Charlie Rose in an interview for CBS News' "60 Minutes" tonight that he believed the Mexican attorney general wanted to, in Rose's words, "encourage the cartel to put you in their crosshairs."
But he answered with a firm "No," when Rose asked him whether he feared for his life.
Rose then asked again whether he believed the cartel wanted to harm him.
"They've been in this business a long time. They've dealt with law enforcement issues for a long time. They've dealt with misinformation for a long time," Penn said. "There are irrational people. And so I can't say for sure, you know, that there's no risk."
Penn, 55, said he believes his meeting with Guzman and subsequent video interview -- which was delivered to Penn via intermediaries, including a courier for Guzman -- did not contribute to his recapture.
But he also said he assumed Mexican authorities knew about the arrangements being made through Mexican actress Kate del Castillo for him to meet the drug lord.
"I assumed they knew about it. And I say so in the article," Penn said. "I was stunned that he would risk our trip. I was stunned."