The cartel leader was re-captured a week ago, and Penn made headlines the following day when Rolling Stone published his account of visiting the kingpin in hiding last October.

"There is this myth about the visit that we made, my colleagues and I with El Chapo, that it was -- as the Attorney General of Mexico is quoted -- 'essential' to his capture," Penn said. "We had met with him many weeks earlier...on October 2nd, in a place nowhere near where he was captured."

"So as far as you know, you had nothing to do and your visit had nothing to do with his recapture?" Rose asked.

"Here's the things that we know: We know that the Mexican government ... they were clearly very humiliated by the notion that someone found him before they did," Penn said. "Well, nobody found him before they did. We didn't -- we're not smarter than the DEA or the Mexican intelligence. We had a contact upon which we were able to facilitate an invitation."