Guzman, infamous head of the Sinaloa drug cartel, was captured on Friday following a months-long manhunt after he tunnelled out of a Mexican maximum security prison in July.
Mexico has said it plans to extradite him to the United States, where he is wanted for exporting hundreds of tonnes of cocaine, methamphetamine and heroin across the border. But Attorney General Arely Gomez said that while extraditing kingpins takes on average a year, it could take up to five years in Guzman's case.
Rolling Stone magazine published an article by Penn on Saturday based on his interview with Guzman. Gomez said a line of investigation had been opened into the meeting between Guzman and Penn in early October at a jungle hideout, adding that any possible criminal investigation against the actor-director would depend on what, if any, deals he struck with Guzman.
Mexican Actress Kate del Castillo accompanied Penn to the meeting at an undisclosed location. Mexico's government had been following a Guzman lawyer who accompanied them. Mexican daily El Universal published photographs on Monday of Penn and Castillo that it said showed the pair being tracked at the time.
"It (the meeting) was an essential element, because we were following (Guzman's) lawyer, and the lawyer took us to these people and to this meeting," Gomez told local radio.
Penn, who has been criticized in the United States and in Mexico for his visit to Guzman, told the Associated Press on Monday, "I've got nothin' to hide."
Reuters could not reach del Castillo for comment.
In the interview with Penn published by Rolling Stone, Guzman said he felt neither remorse nor responsibility for smuggling billions of dollars worth of drugs into the United States. Nor did he consider himself a violent man despite countless murders blamed on him, he told Penn.
Mirror Hid Escape Tunnel
More details emerged on Monday of Guzman's capture, which has been a boost to President Enrique Pena Nieto after the embarrassment of his escape last year.
The drug kingpin initially gave Mexican security forces the slip as they closed in, opening a secret doorway hidden behind a mirror in the house where he was holed up, and descending into a sophisticated tunnel leading to the drains in Los Mochis, a city in his native state of Sinaloa.
He spent hours below ground as his henchmen sought to lure pursuing Marines towards the roof of the house. As rainwater started to fill the drains, Guzman eventually emerged from a manhole near a gas station a mile (1.6 km) across town and stole a car at gunpoint.
Video footage broadcast by Televisa on Monday showed Marines firing shots inside the house during the dawn raid and images of the ground-floor dressing room where the tunnel entrance was hidden.
It took the Marines 90 minutes to find the tunnel entrance, giving Guzman a crucial headstart. The lever to open the reinforced door behind the mirror was concealed in the light of the dressing room, the video showed.
Below, there were submarine-like reinforced metal doors to prevent the tunnel from flooding when water levels in the drains rose.
Marines found another hole beneath a refrigerator which proved to be a red herring, the apparent beginnings of a project to build another escape route. They also found two women cowering in one of the home's five bathrooms.
"My holidays are over," Guzman said when he was finally caught, Televisa reported.
Items found by Marines at the Los Mochis property included DVDs of "La Reina Del Sur," a fictional series about a female drug boss starring del Castillo.
Images broadcast by Televisa showed blood and bullet holes spattered on the white walls of the house. In Chapo's downstairs bedroom, there were flatscreen TVs and a sofa littered with injectable testosterone, syringes, antibiotics and condoms. There was also a bottle of "Miracle V Tonic", a dietary supplement which promises to enhance sexual performance.
The Marines burst through two doors to find 15 of Guzman's henchman armed with machine guns and rocket launchers. Five of the hitmen were killed in the shootout, one of them falling from the roof to a patio and another dying on the street, Televisa said.
Wanted In The United States
The Mexican government said late on Sunday it was formally starting extradition proceedings against Guzman. Mexico regularly extradites leading traffickers but the government resisted handing over Guzman after his arrest in February 2014 as a point of national pride.
On Sunday, Interpol served two extradition warrants, the Mexican attorney general's office said, kick-starting the latest attempt to have Guzman face U.S. justice. The U.S. government wants Guzman, who is believed to be 58 years old, tried on charges ranging from money laundering to drug trafficking, kidnapping and murder.
Guzman, who is blamed for thousands of deaths in Mexico and the United States from addiction and gang warfare, is facing open federal indictments in seven U.S. jurisdictions.
Chicago, which in 2013 dubbed Guzman its first Public Enemy No. 1 since Al Capone, and Brooklyn, New York are leading contenders to host what would be one of the highest profile U.S. criminal trials in years, former U.S. law enforcement officials said.