"Look, who's safe? Nobody. JFK's (John F. Kennedy) life couldn't be saved. When I'm asked what precautions I'm taking to ensure my safety I wonder what to say.
"The world's most powerful leaders aren't safe, so how can I be? There's no foolproof safety for anyone. The bad guys only have to get it right once and you're gone," Shah Rukh added.
Two people were killed in the blasts Saturday. Dozens more, including the wife of former Indian cricketer Ravi Shastri, were injured.
Shah Rukh and the other Bollywood stars who performed with him returned Sunday.
Khan denied he had been advised against performing at Colombo due to security reasons.
"I saw TV reports which said we went to Colombo in spite of threats for the money. Do I need it? How can you perform abroad when it isn't safe?
"This is the most stupid rumour I've ever heard. There was no threat at all. It's nonsense to even suggest that I went in spite of threats because there were none," Khan asserted.
At the same time, he admitted he and the other Bollywood stars were caught in a dangerous situation due to the blasts.
"Yes, and it's immensely sad and dismaying. We're entertainers. We went there to make people smile and dance.
Shah Rukh refused to speculate on the identity of the attackers.
"I don't want to give them a face or an identity. I don't want give them any importance by talking about them. These elements will always try to spoil things for people like us, especially in crowds.
"It's important not to bow down to elements who do such terrible things for publicity. I think these are cowardly people. And I'm not scared of them. Nor am I insecure as an actor or a human being," Shah Rukh added.
He also expressed his grief over the deaths in the bomb blasts.
"To lose one's life at such an entertainment event is really really sad. I saw with my own eyes the people who expired. It's a terrible thing to happen.
"Losing one's life during an entertainment event is too high a price. I know people want to see me on stage but I don't want to see people dead.
"People paid money, came from long distances to see us...only for this to happen. It's really shocking and disappointing...the bottom-most rung of my life as an entertainer.
"It's so sad to see people lose their lives during what was meant to be no more than entertainment," Shah Rukh maintained.