The Hollywood actor differentiated Catalonia from Spain during an interview printed in Mexican newspaper La Mañana.
"Many people would say I didn't work in Spain, but in Catalonia," Penn corrected the journalist with a laugh, according to Spanish daily 20 minutos.
The Dead Man Walking actor shot his latest film, The Gunman, in Barcelona alongside Spanish actor Javier Bardem.
"I did spend a few days in Madrid but we didn't shoot anything there," Penn added.
The actor's comments provoked a strong reaction on social media, with many supporters of Catalan indepdence thanking Penn publicly:
The actor is no stranger to making controversial comments.
He visited Argentina in February 2012 where he met President Cristina Fernández de Kirchner and made a statement on the long-running Falkland Island dispute which was taken as his giving support to Argentina's claim on the islands, provoking a strong reaction in the British press.
He also famously defended the late Venezuelan President Hugo Chavez, calling for the arrest of anyone who referred to Chavez as a "dictator".
Clarification: (Added May 14th) It emerged that the original interview had run in El Pais' Semanal supplement before being reproduced in Mexico's La Mañana with a different headline.
The original quote from Penn as reported in El Pais read like this:
"You just asked me what it was like to work in Spain when there's plenty of people that would say I didn't work in Spain, I worked in Catalonia [laughs]. What I would say is this. I also spent a lot of great time in Madrid. We didn't shoot in Madrid but I love that city. And equally I love Barcelona. It's a great place to work and make a movie. As an American to go to that city I can easily say if I got offered a movie tomorrow that's where I want to go. I love shooting there, I love eating there, I love walking down to the beach, I love eating late at night, I love go to the Barrio Gotico. I loved it there."