Despite earlier calling on Kim to set Bae free, Rodman said the Christian missionary's fate was none of his business.
"Guess what? That's not my job to ask about Kenneth Bae," Rodman told reporters upon arrival at the airport in China's capital, Beijing.
"Ask (President Barack) Obama about that. Ask Hillary Clinton," a visibly agitated Rodman shouted, referencing the former secretary of state. "Ask those ...holes."
Chomping an unlit cigar, the typically flamboyant Rodman displayed a stack of photos showing him conversing with Kim over a meal and socializing with the entourages. The NBA Hall of Famer and five-time championship winner said the two had formed a close bond over the course of his two visits to the isolated communist dictatorship.
"He's my friend for life. I don't care what you guys think about him. I don't give a s... what the world thinks about him, but he's my friend," Rodman said.
Wearing designer sunglasses and a stocking cap adorned with metallic spangles, Rodman quickly flashed with anger when asked about Bae, hurling obscene remarks back at reporters who quizzed him about the purpose of his trip. At one point, he had to be restrained by a member of his entourage before being bundled into an elevator to speed off in a waiting car.
Rodman told The Associated Press as he was leaving his hotel in Pyongyang that Kim had spoken about his visiting again, and that Kim "really actually wants to change things."
He said Kim had encouraged Rodman when he goes back to the United States to "say some very good, positive, and very good things about this country, that's what we talked about a lot."
North Korea's official news agency, KCNA, said in a brief report that the two had "a cordial talk," and that Kim invited Rodman back again "any time."
The report said they watched a basketball game together, and Kim hosted a dinner for the sports star.
Rodman first met Kim — a basketball fan — during a visit in February to promote the sport and make a film. The two-time defensive player of the year has suggested "basketball diplomacy" could warm relations and has called Kim an "awesome guy."
The KCNA report did not mention Bae, an ethnic Korean US citizen who has been held in North Korea since last year.
Rodman once asked on his Twitter account for Kim to "do me a solid" and release Bae.
Bae was arrested in November and sentenced to 15 years of hard labour for what Pyongyang described as hostile acts against the state. Kim has the power to grant special pardons under the North's constitution.