The Radio 1 DJ was filming an interview with politician David Bahati for upcoming BBC Three documentary The World's Worst Place To Be Gay? when he told the parliamentarian of his sexual orientation.
Mills said that Bahati "went mental" and tried to arrest the filming crew, reports The Sun. Mills said: "I'd heard horror stories about people getting arrested and roughed up and who knows what. I was scared. He ordered us to cut the cameras then brought a security guard.
"We ran off and he rang one of our guys saying, 'Where are they staying? What are the registration plates? I want them arrested. They won't get far.' We lied that we were at the Sheraton and apparently he turned up there with armed police."
In 2009, Bahati proposed the Uganda Anti-Homosexuality Bill, which would introduce the death penalty for practising homosexuality in certain situations. The bill remains under discussion.
The World's Worst Place To Be Gay? airs on February 14 at 9pm on BBC Three.