And Harron was furious.
"Leonardo wasn't remotely right [for the part]," she told The Guardian in 2000.
"There's something very boyish about him. He's not credible as one of these tough Wall Street guys ... He brought way too much baggage with him; I did not want to deal with someone who had a 13-year-old fan base. They shouldn't see the movie. It could've gotten us in a lot of trouble."
To Bale's credit, he refused to give up on his dream to play Bateman, despite many insisting the role would be "career suicide".
But the studio wanted a bigger name as the lead (this was years before Bale became Batman) and - as Harron explained - "they would've taken almost anybody over Christian."
The actor carried on as though his deal hadn't fallen through and nothing had changed.
"I just pretended it didn't happen," Bale told The Wall Street Journal.
"I'm English, so I never go to a gym, but for that role it was part of the whole deal that I had to go. I still kept going down to the gym every day because I was going, 'Oh, I'm making the film.' I would call Mary Harron - she'd be having a nice dinner with her family - and I'd go, 'So Mary, so when we do this scene ...' And she'd go, 'Christian, Oliver Stone is directing, DiCaprio is playing your role.' I said, 'Right, but you said it, my role, alright? It is coming back, so let's talk about it, because it's coming back to us.' And she'd go, 'Christian, can you please leave me alone?'"
He was right to stay positive - nine months later, DiCaprio dumped the project in favour of doing The Beach (which earned him his first and only Razzie nomination - oops) while American Psycho went on to earn Bale critical acclaim and cement his status as one of Hollywood's finest actors.