Perrone grinned as he entered his plea Wednesday at State Supreme Court in Brooklyn, the New York Daily News reported.
"I have not been given any access to the outside world," Perrone said at his arraignment. "Are we in the United States of America?"
The judge indicated Perrone's behavior was either "disruptive, confused or bizarre."
Perrone, 64, of Staten Island was indicted last month on three counts of first-degree murder and three counts of second-degree murder, and faces life in prison if convicted. He was charged Nov. 21 after police found the sawed-off rifle he allegedly used in the killings.
The rifle, which had Perrone's fingerprints on it, was found in a duffel bag in the closet of his girlfriend's Brooklyn apartment. A man carrying a duffel bag captured on surveillance cameras in the area had prompted police to dub the man "John Doe Duffel Bag" prior to Perrone's arrest.
All three victims were of Middle Eastern descent.
Isaac Kadare, Mohammed Gebeli and Rahmatollah Vahidipour, who were all in their 50s, were killed in July, August and Nov. 16 at small shops that didn't have security cameras and were within a 5-mile radius in Brooklyn, police said.
New York Police Commissioner Raymond Kelly said at the time of his arrest authorities believe Perrone would have kept on killing if he hadn't been caught, The Wall Street Journal reported.
"I think it's reasonable to assume that he was just going to continue doing this and by arresting him we saved lives," Kelly said. "We know that he went to other locations and asked questions that indicated ... he very well may have been planning to come back."