"I am not scared," he said when reporters asked him if he was scared of threats to his life from rival gangs, including one headed by Dawood.
Arrested on arrival from Australia on Sunday, Rajan made the comments while being whisked away by police.
Bali Police spokesman Hery Wiyanto said they were aware of the threats faced by Rajan and he has been placed with special commandos for protection.
Wiyanto said 55-year-old Rajan, whose original name is Rajendra Sadashiv Nikhalje, seems to be doing fine and there is no particular behavioural problem with him.
"If he is under pressure, he is not showing," he said.
Bali Police Commissioner Reinhard Nainggolan said Rajan, once close confidant-turned-rival of underworld ganglord Dawood, repeatedly pleaded before the interrogators to free him as he wanted to go to Zimbabwe.
Nainggolan said the mafia don was medically fit, thus contradicting reports of him suffering from multiple ailments.
"We are waiting (for the Indian team). We will coordinate with the Indian authorities to formulate on how to deport Chhota Rajan back to India," he said.
Bali Police commissioner Nainggolan said arrest of Rajan was a serious law enforcement operation under the supervision of the Interpol.
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