Annan said freedom of expression has to be exercised with "respect, sensitivity, and judgment."
At a news conference in Tehran following talks with Iranian President Mahmud Ahmadinejad, Annan said: "I think the tragedy of the Holocaust is a sad and undeniable historical fact. So we should really handle that, accept that fact, and teach children in World War II to ensure that it is never repeated."
Ahmadinejad has called the killing of 6 million Jews in Nazi-occupied Europe during World War II a myth.
Earlier today an Iranian foreign ministry spokesman said Iran will go ahead and sponsor a conference to examine the scientific evidence supporting the Holocaust.
Hamid Reza Assefi said both opponents and proponents of the existence of the Holocaust could participate.
Assefi did not disclose where and when the Holocaust conference would be held. Iran first raised the possibility of the conference in January.
(CNN)