Fatou Bensouda launched a preliminary investigation in February into allegations that Filipino police were murdering thousands of drug suspects, prompting Manila last month to withdraw from the Hague-based tribunal.
"That is illegal and I will arrest you," he added, according to official transcripts.
Philippine police say they have killed roughly 4,000 drug suspects who fought back during arrest. Rights groups claim the actual number is three times higher, accusing authorities of murder.
In the face of widespread international criticism of its drugs war, Manila has described its withdrawal from the ICC as a "principled stand against those who would politicise and weaponise human rights".
The ICC has urged Manila to reconsider its decision, while warning that the move does not prevent the tribunal from continuing its investigation into the killings.
"You, Ms Fatou, do not come here because I will bar you," Duterte said. "Not because I am afraid of you (but) because you will never have jurisdiction over my person, not in a million years." The ICC opened in 2002 to try abuses in countries where national courts cannot or will not prosecute.
Buoyed by high domestic popularity ratings, Duterte has fiercely defended his drug war as a battle to provide security for the nation's 100 million people.
He has frequently urged authorities to kill drug suspects while promising to protect police from legal repercussions.
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