Justice Minister Alexis Thambwe Mwamba said on Thursday that he should be arrested wherever he was found.
But Mr Katumbi told the BBC the warrant made no sense.
How can they issue an arrest warrant against me and yet two weeks ago, they blocked me when I tried to enter the country? Right now I am in Namibia and they can find me if they want to arrest me. My reaction is that those claims are being made by empty drums, just like they say empty tins make the loudest noise. The people that are subjecting Congolese to misery are those in leadership making false accusations against me.
It is those who are stealing and killing people right now that should face the law.”
Mr Katumbi was hoping to get into DR Congo ahead of a deadline earlier this month for candidates to register for long-delayed elections in December.
But as he tried to cross over the border from Zambia, he was blocked by the Congolese authorities.
A wealthy businessman and former governor, Mr Katumbi left DR Congo in 2016.
He was later sentenced in absentia to 36 months in prison on charges he says are politically motivated.
Who is Moïse Katumbi?
Was governor of the south-eastern Katanga province for almost a decade
In 2015 he broke ties with the ruling party when he accused President Joseph Kabila, his former ally, of wanting to cling to power
His popularity is partly down to his role as the president of a great source of Congolese pride – football club TP Mazembe.