Welsh actor Sheen recalled the incident during an appearance on Friday's edition (May 31) of "The Graham Norton Show", and revealed the mix-up occurred when he went to collect his daughter from an ice skating lesson.
The "Underworld" star admitted to looking quite dishevelled at the time, and claimed the fashion designer, 45, alerted authorities because she thought he was an intruder at the venue.
"I was in LA and went to pick (my daughter) up from an ice skating lesson," the 50-year-old shared. "When I got there, the Beckhams were there checking out the rink for lessons. "I was quite hirsute then and when Posh saw me she called security thinking I was a tramp trying to abduct my daughter!"
Michael shares daughter Lily Mo with former partner Kate Beckinsale, 45, with whom he was in a relationship from 1995 to 2003.
The actor appeared on the show to promote his new TV series "Good Omens", which is based on the 1990 novel of the same name by Terry Pratchett and Neil Gaiman.
While Michael was originally supposed to play a more villainous character, the star confessed he opted for a different role because he didn't believe he was "good enough".
"Neil (Gaiman) assumed I would want to play the demon, but when I read a very early version of the script I thought, 'I can't do that, I'm not good enough.'" he told Graham. "We had a very awkward dinner and (Neil) finally asked how I would feel about playing the good character. It was perfect."
"Good Omens", which also stars David Tennant, is released on Amazon Prime Video on Friday.