Macy said he was filming a prison scene for the new David Mamet indie flick in which he had to march naked and manacled down a hallway.
"I do the scene four times and the property guy comes up and says, 'OK, we got it,'" Macy is quoted by the World Entertainment News Network as saying.
"He says to the actor, who is playing the cop, 'Gimme the key,' who says, 'I don't have the key.' There's no key. They've lost the key. I'm buck naked ... I said, 'Oh, that's really funny, you've lost the key.' The prop guy said, 'No, it isn't funny, this is really serious.'"
Eventually, they found the key, Macy said, adding: "I tell ya, low-budget is not for sissies."