But he is hardly less feted throughout the rest of the world. He has sold more than 20 million books and he tells me that he is having a meeting with Martin Scorsese, who is set to produce a forthcoming film of his novel The Snowman.
It is not, he says, normal practice in Norway for photographs of authors to adorn the front covers of their paperbacks. Does this rock star-come-novelist feel that, more than most writers, he is a brand?
"Yeah I am, I am. And I don't mind that, I realise that is what you become. But my daughter grew up with me being a well-known man, and I remember she would say that there was a picture of Jo Nesbo in the papers today, not Dad. And she said it 'Jo-Nesbo', like it's one word. And that's how I see it: Jo-Nesbo is the brand and I'm the guy who is a dad or a brother or a bandmate."
I'm not sure how easy it is for him to maintain this attitude, though, as a few minutes later a middle-aged woman bears down on our table, brandishing a shiny new hardback, fresh from the bookshop next door, which she requests him to sign for her daughter.
Does this happen often?
"It happens quite a lot, yeah," he says, with a look that can be described only as sheepish.
He has not achieved this level of popularity by shying away from the darker side of the human mind, in his portrayal of his heroes as well as his villains. Nesbo's latest novel, Police, which boasts the customary ability to render attempts at work and sleep futile until it is finished, sees the return for the 10th time of his brilliant but wayward detective Harry Hole, a man so tortured by his inner demons that you feel he could have been the sitter for Munch's painting. Here Harry finds himself contemplating infidelity, indulging in violent rape fantasies and questioning whether he can regard himself as morally superior to the serial killer he is hunting.
"I'm not sure the fantasies of, let's say, criminals and non-criminals are that different," says Nesbo. "I think that most people have fantasised about having their loved ones killed or raped, so that we can then justify our revenge fantasies.
"Most of us have a sort of internal censorship, and if there's something we shouldn't think about, like maybe having sex with your mother, you will think about it for a fraction of a second and then stop yourself. But as a writer what you should do is stop and roll with that for a moment ... and your readers can read about it without having to take the responsibility of that being their own thoughts."
Ever since he was a child and noticed that one of his fellow pupils took the trouble to bring tweezers to school in order to pull the legs and wings off flies, he has been interested in what makes people do evil things. "I thought, do the bad guys see themselves as bad guys or good guys? If I went inside their heads, would I see things totally differently, like a photo negative?"
He also took the time to wonder how the flies felt about it, he says. He now admits that this sort of empathetic curiosity - how does a man feel if he's been tied to a hot oven and the person torturing him keeps throwing water in his face to stop him from fainting? - has led him to overdo some violent scenes in his books.
Surprisingly, he confesses to having little interest in the Norwegian mass-murderer Anders Breivik. "Maybe it's because his actions were on such a big scale that you can't really relate them to everyday things. I'm actually more interested in someone who might push in the queue here and wonder, 'okay, why did he do that, what kind of man is he?' Then I can start making up a story about what his life is like."
He was more intrigued by the Norwegian people's reaction to Breivik's atrocities. "It was very touching that people refused to react with anger and violence and paranoia. It was reassuring to realise that you live in a society of mostly decent people. Then the Norwegian news media started to think about what the international media was saying about Norway, and we got self-conscious about the way we reacted. And so we started writing about our reaction to what happened as if we had won a gold medal in the Olympics or something, and that was when I made a couple of comments about how this was not a competition in dignity, and if it was, we just lost. But we can still look back with pride at the spontaneous reaction of the people, I think."
The key to his success, Nesbo affirms once more, is to be interested in ordinary people rather than psychotic monsters. "The important thing is to live a life among your readers, have experiences they can relate to. But also I think it's good for writers if they are slightly crazy. That gives you that different view of life you need to be a good writer."
He admits then to being slightly crazy himself? He fixes me with that piercing gaze. "I guess I am. Or I try to be."
Police (Harvill Secker $37.99) is out now.
