Megrahi, a former Libyan intelligence officer, was convicted in the Dec. 21, 1988, bombing of Pan Am Flight 103, in which 270 people were killed. He was released from prison by Scottish officials in August 2009 on compassionate grounds because of a terminal prostate cancer diagnosis.
"I am an innocent man," Megrahi said in an interview reported in The Guardian newspaper and other British outlets. "I am about to die and I ask now to be left in peace with my family."
The interview is expected to be used in a documentary that is to be broadcast in February.
He gave the interview shortly after Scotland's top lawyer, Frank Mulholland, met with FBI Director Robert Mueller to discuss the bombing. Mulholland told Mueller that he believed the 1988 bombing was state-sponsored terrorism.
"I think I would be failing in my duty if I didn't properly seek to take advantage of the opportunity that has opened up with the fall of Gadhafi," said Mulholland.
Following the oil spill in the Gulf of Mexico last year, U.S. lawmakers started examining whether Megrahi's release was tied to a BP deal to look for oil in Libya. British, Scottish and BP officials deny charges Megrahi's release was related to oil.
U.S. Sen. Robert Menendez, D-N.J., who led an inquiry last year into Megrahi, said he felt there was a solid case linking Megrahi's release to oil.