Redknapp spoke as he returned to his multi-million pound home at Sandbanks, Poole, Dorset.
"I've been answering questions to help the police. I am not directly concerned with their enquiries."
Redknapp confirmed that he had been arrested and said: "They have to arrest you to talk to you, for you to be in the police station. I think that's the end of it, it didn't directly concern me."
Redknapp confirmed that as well as himself, Milan Mandaric and Peter Storrie were also arrested today.
Speaking outside the police station, Paul Martin, the solicitor representing Redknapp and Storrie, had stressed the pair were co-operating with detectives.
"They have been assisting the police with enquiries," he said.
"The enquiries do not relate to either of those individuals, they relate to entirely different individuals.
"They are ongoing investigations in relation to those other individuals, and for that reason they are unable to comment further, and there is nothing that they can discuss."