It was the first time she had been profiled in that way. She said the incident left her "kind of shocked" but didn't know what the "purpose" of it was.
She said that she did not mind removing her headscarf, but it made her think about how someone who didn't feel comfortable would react in that situation.
The actress was asked whether she was converting to Islam.
Remaining coy, she said she was studying the Quran and it is something she is interested in. "I don't wanna speak on something that I haven't finished yet. I don't think that's right," she said.
"It's a consideration I have."
Lohan, who is an advocate for refugees, defended Donald Trump.
"People are making it overly dramatic," she said.
"What's the point in picking on someone in case of just seeing what they're capable of, or not capable of?"
Earlier this year, fans thought the star may have converted to Islam after she deleted all her images on her Instagram account and changed her bio on the social media site to an Arabic message.
The 30-year-old actress wrote "Alaikum salam" - meaning "and unto you peace" - in her bio field after wiping all the pictures from her account, which is followed by 5.7 million people.
Social media users interpreted the move as a sign that she had converted to Islam.
