He told BBC Radio 4's "Today" program, "The interesting thing is, when we asked to shoot inside the United Nations, they actually refused.
"We said, 'This is a pro-democracy movie.' They said, 'That's the problem -- we represent a lot of dictators, and they are going to be very angry by this portrayal of them, so you can't shoot in there."
In "The Dictator," Baron Cohen plays Admiral General Aladeen, which he says is a parody of tyrants such as former Libyan dictator Muammar Qaddafi.
UN Secretary-General Ban Ki-moon's spokesman, Martin Nesirky, was questioned by a reporter on the matter on May 18. He responded simply, "Sacha Baron Cohen has a wonderful sense of humor".
Tajikistan, which has been ruled by President Emomali Rahmon for almost all of the past 20 years, has already banned the film.
-- Courtney Brooks