In a brief email exchange with The Associated Press, Penn also dismissed criticism over his interview with the fugitive, who was captured on Friday, a day before Penn's 10,000-word story was published in Rolling Stone magazine.
Mexican officials have said that contacts between Guzman's lawyers and Penn and actress Kate del Castillo helped them track down the fugitive and they raided his hideout in rural Durango state a few days after their October 2 meeting. Guzman evaded authorities then, but was finally captured after a shootout Friday in the Pacific coast state of Sinaloa.
Penn wrote in the Rolling Stone article of elaborate security precautions, including switching phones. As he flew to Mexico for the meeting, he wrote, "I see no spying eyes, but I assume they are there."
He was right - and they had apparently been following del Castillo for months based on contacts with Guzman's lawyers.
The Mexican newspaper El Universal published 10 images on Monday that appeared to show Penn being monitored as he arrived in Mexico.
In the photographs, Penn, wearing dark glasses and a baseball cap, is shown arriving with del Castillo at an airport, then at a hotel, and greeting the men who apparently took them to a small airstrip, from which they flew to the jungle camp to meet Guzman. The newspaper said the photos were part of a Mexican government intelligence file it had obtained.
Asked about the images on Monday, Penn would only say: "I've got nothin' to hide."
The actor also shrugged off a suggestion that he was "taking hits" for agreeing to submit his article to Guzman prior to publication by Rolling Stone.
"No, you're reading hits," he said in the email exchange with the AP. In the article, Penn said Guzman requested no changes.
Penn stressed that he doesn't think his communications were tracked, and in an interview with a local radio station, Mexican Attorney General Arely Gomez said that Mexican investigators were following the movements of one of Guzman's lawyers, not necessarily Penn or del Castillo.
Asked whether Penn or del Castillo were under investigation, Gomez said a "new line" of inquiry had been opened that could include them or Guzman's lawyers, and could involve "covering up" for Guzman "or something bigger."
In an article accompanying the photos, El Universal said Mexican agents were aware of and following del Castillo's contacts with Guzman's lawyers since at least June. Del Castillo has not commented, but Penn wrote in Rolling Stone that Guzman was interested in having a movie made of his life and wanted del Castillo, who had portrayed a drug trafficker in a Mexican television series, involved in the project.
It was not Penn's first foray into Latin American life and politics. The actor has become known in the region for befriending leftist leaders, including late Venezuelan President Hugo Chavez and Evo Morales in Bolivia. In 2008, he interviewed President Raul Castro for The Nation just after Barack Obama was elected US president in what was billed as the Cuban leaders' first interview with a foreign journalist. He has also been widely hailed for the charity he founded in Haiti after its devastating 2010 earthquake.
Guzman's capture came six months after his dramatic escape through a mile-long tunnel he dug from his cell at the maximum-security Altiplano prison, west of Mexico City.
Mexico has begun the process of extraditing Guzman to the United States, where he faces drug-trafficking charges, but that could take "a year or longer" because of legal challenges, said the head of Mexico's extradition office, Manuel Merino. He cited one extradition case that took six years.
In the meantime, Guzman, who faces drug-trafficking and organized crime charges in Mexico, was being held at the same prison he escaped from in July. A Mexican security official, speaking on condition of anonymity because he was not authorized to speak to the media, said the drug lord is being held in a different cell and that the tunnel he built and the cell he escaped from had been destroyed.
On Monday, the prison was ringed by soldiers, some riding in armored personnel carrier, as well as marines and federal police.
Guzman's powerful Sinaloa cartel smuggles multi-ton shipments of cocaine and marijuana as well as manufacturing and transporting methamphetamines and heroin, mostly to the US He is wanted in several US states.
Guzman's attorney Juan Pablo Badillo has said the defense has already filed six motions to challenge extradition requests.
Badillo said that his client shouldn't be extradited to the US because "our country must respect national sovereignty, the sovereignty of its institutions to impart justice."
In the interview in Rolling Stone, Guzman defended his role as the head of the world's biggest drug-trafficking organization, blamed for thousands of killings. When asked if he is to blame for high addiction rates, he responded: "No, that is false, because the day I don't exist, it's not going to decrease in any way at all."