Speaking to reporters in Beijing after departing the North Korean capital Pyongyang, the former NBA star said, "It is not my job to talk about Kenneth Bae," CNN reported.
"Ask [U.S. President] Obama about that, ask [former U.S. Secretary of State] Hillary Clinton about that. Ask those [expletive]," said Rodman, who was clad in a shiny silver skull cap, T-shirt, warm-up pants, scarf and sunglasses while clenching a cigar in his mouth.
Bae is serving a 15-year sentence at a North Korean labor camp after being arrested while doing missionary work.
After showing off photos of himself with the North Korean dictator, Rodman told reporters Kim is "my friend for life -- I don't care what you guys think about him," the BBC reported.
Last week, North Korea canceled a scheduled visit by U.S. Ambassador Robert King, who was attempting to gain Bae's release.
Before leaving the United States for North Korea, Rodman asked Kim in a Twitter message to "do me a solid" and release Bae.
Pyongyang's state-run news service, KCNA, said Kim had "warmly greeted" Rodman on his arrival and that the men watched a basketball game and had dinner, South Korean news agency Yonhap reported.
The KCNA statement did not reveal the timing of the events and made no reference to Bae.
Rodman first traveled to North Korea in February.
Theater accidentally screens 'Nymphomaniac' trailer instead of Disney's 'Frozen'
Man behind Doritos Locos Tacos passed away on Thanksgiving