In an interview this week with the Belgrade tabloid "Kurir," the man -- identified only as "Captain Joe" -- was also quoted as saying that, "for us, killing a man is nothing. I have no problem with that."
The notorious Special Operations Unit, also known as the Red Berets, was an elite police force that has since been linked to a series of murders and atrocities committed during the Milosevic era.
Zvezdan Jovanovic, the man accused of firing the bullet that killed Djindjic, was a former deputy commander of the unit. The alleged mastermind of the assassination, Milorad Lukovic, also known as "Legija," was the former commander of the unit. Legija is one of eight suspects still at large.
During a police crackdown following Djindjic's death, the Special Operations Unit was disbanded. A number of its former members joined a new police force, the Gendarmerie.
In the "Kurir" interview, Captain Joe said he has been in contact with the fugitive Legija, refuting claims he has fled the country. He also threatened that former Red Berets will soon turn up in full uniform in the spectator's gallery of the special high-security court in Belgrade where the Djindjic trial is being held.
That threat apparently is not to be taken lightly. A few days ago, six former Red Beret members showed up in the courtroom's gallery in T-shirts bearing the unit's insignia.
Human rights activists, the media, and public figures say the incidents are clearly meant to show that Milosevic-era security structures are still a force to be reckoned with in Serbia.
Rajko Danilovic, the lawyer for the Djindjic family, says he is not surprised.
"The content of the ['Kurir'] interview shows I was right when I previously said that, unfortunately, an atmosphere is created in Serbia where it is legitimate to kill a political opponent," Danilovic said.
Dusan Petrovic, the deputy leader of the Democratic Party once led by Djindjic, said the incidents show that, in Serbia, there are still organized groups, including members of the security forces, ready to carry out political murders.
"Currently, only these structures of the state apparatus that know what is happening in the circles in which the 'Kurir' interviewee [Captain Joe] belongs can tell whether these circles are preparing for real action," Petrovic said.
The initial reaction of the government of Prime Minister Vojislav Kostunica was to dismiss the incidents. It was only after the public outcry caused by the "Kurir" interview that the public prosecutor two days ago said he would order an investigation.
Biljana Kovacevic-Vuco is the president of the Serbian Committee of Human Rights Lawyers. She sees both incidents as evidence of a long campaign to "justify" Djindjic's killing.
"Unfortunately, the 'Kurir' interview is not the first such case,” she says. “I must say that killing Djindjic again, justifying the crime, is something that has been happening in Serbia, that has escalated over the previous two to three months."
Kostunica, who was Djindjic's ally at the time of Milosevic's ouster nearly four years ago, later became his bitter political rival. Kostunica's minority government relies on the support in parliament of Milosevic's Socialist Party.
Kovacevic-Vuco says that while it is not directly supporting incidents like the Red Berets' show of force, the government is "revanchist" towards Djindjic, seeking to diminish his role as prime minister and as a political leader.
"I am afraid [these latest incidents are] connected with the new government in a sense that the political scene, the political environment, is really good for such activities of different illegal or former paramilitary forces which were recognized during the Milosevic period and continued their activities in the period that followed," Kovacevic-Vuco said.
The trial of Djindjic's alleged killers has been delayed several times over procedural matters, and a key witness has questioned the results of the official investigation.
Even as the trial has proceeded, the interior minister has said he plans to reopen the investigation, while the justice minister has suggested abolishing the special court where it is being held.
Does Serbia's "trial of the century" risk turning into a farce?
Kovacevic-Vuco points out that the special court is faced with a task that would have been impossible in Milosevic's time. She believes that, despite all the pressures, the court will do its best to establish the facts.
But she says she fears those facts could be presented in a way designed to suit different political agendas.
(RFE/RL's South Slavic and Albanian Languages Service contributed to this report.)