The Las Vegas gunman told the man he bought ammunition from weeks before the massacre that he planned to put on a "light show".
Police identified Arizona man Douglas Haig as a person of interest in the October 1 shooting that killed 58 and injured hundreds more, according to newly released court documents.
"I am the guy who sold ammunition to Stephen Paddock," he told the Associated Press on Tuesday after his name was published.
Haig had admitted to selling Paddock 720 rounds of tracer ammunition — bullets that leave a visible trail after being fired — from his home business, Specialized Military Ammunition.
However, he has denied having any knowledge of what the gunman was planning.
"He told me exactly what he wanted. I handed him a box with the ammunition in it and he paid me and he left," Haig told CBS This Morning in an interview aired in the US on Wednesday.
"He said he was going to go put on a light show and I can't remember whether he said 'for' or 'with' his friends, but that's what he did say."
Haig said he felt "horrible" when he realised what his customer had done and he shut his business down within weeks of the shooting. Specialized Military Ammunition's website says it is "closed indefinitely".
"I couldn't detect anything wrong with this guy," he said.
"I'm still racking my brain for what did I miss. Why didn't I pick this up?"
Investigators were led to Haig soon after the massacre when they discovered an Amazon box bearing his home address inside Paddock's Mandalay Bay hotel room, from which he fired a hail of bullets at an outdoor country music festival.
In court documents to apply for search warrants nine days after the shooting, Las Vegas police said Haig "may have conspired with Stephen Paddock to commit murder with a deadly weapon", but Haig has denied the allegation.
"I felt that they were hoping that they could find a connection between myself and Paddock that would go back showing that I supplied him with most of his ammunition, possibly even some firearms," he told CBS This Morning.
"They're not going to find it. I talked to the guy three times."
Neither the police, the Federal Bureau of Investigation nor the US attorney's office have commented on whether Haig is still considered a person of interest in the investigation, however Las Vegas sheriff Joe Lombardo said earlier this month that investigators believed Paddock had acted alone. The gunman killed himself as officers stormed his hotel room after the shooting.
Haig's name was redacted from the 270 pages of court documents but was accidentally left on one page provided to the Las Vegas Review-Journal, which first published his name online.
Paddock's girlfriend, Australian citizen Marilou Danley, was also named as a person of interest in the court documents, but authorities say they are not planning to lay any charges against her.
The papers show that investigators found 23 rifles and a handgun in Paddock's 32nd-floor hotel suite and an adjoining room.
Police also found five suitcases, five rifle cases, binoculars, a spotter scope, a portable solar generator, 1050 empty bullet casings and $273 in cash.
Investigators are yet to explain why they believe the 64-year-old retired accountant carried out the massacre, which was the worst in US history.
Authorities have previously characterised Paddock as a gambler on a losing streak who was obsessed with cleanliness, may have been bipolar and was having difficulties with Ms Danley.
Haig says he will hold a press conference on Friday to answer questions about his name surfacing in the investigation.