He denied being a fugitive in South Africa and further denied claims that Indian authorities were investigating his family.
The controversial businessman is wanted by the Hawks for his alleged involvement in corruption.
He denied all allegations levelled against him.
On Monday, it was confirmed that Ajay was in Saharanpur in northern India.
In April, The Asset Forfeiture Unit (AFU), South African Revenue Service (Sars) and the South African Police Service (Saps) raided the Gupta compound in Saxonwold.
Authorities said more Gupta assets would be targetted.
Ajay claims his family conducts business "on merit".