While Syrians, Iraqis and Afghans have formed the bulk of the thousands of people fleeing to Europe, hundreds of Palestinians have also made the treacherous journey.
And Ai said he could not ignore the decades-old reality of Palestinian refugees due to their "long history".
"It is a big population and has such a complexity of political conditions and affects a huge society," he told AFP.
"If we are doing a documentary film we have to search (for) what happened in this refugee situation in the global sense and Gaza is a very, very important location we have to film in."
Most come from families who left their homes during the war that led to the creation of Israel in 1948, and Ai joked that he arrived "late" to the story.
While the global film world has been focused on the Cannes Film Festival this week, the dissident documentary maker, who was jailed for 81 days over his support for democracy and human rights in China, entered Gaza.
He travelled to a number of parts of the coastal strip, including Jabalia camp in northern Gaza where he met refugees and displaced people whose homes were destroyed during the 2014 war between Israel and Palestinian militants.
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