Mr Trump also told NBC News it was his decision alone to sack James Comey.
Mr Comey was leading an inquiry into alleged Russian meddling in the US election and possible collusion between Trump campaign officials and Moscow.
Mr Trump has dismissed the probe as a "charade", a claim directly contradicted by Mr Comey's successor.
In his first interview since firing the FBI director, Mr Trump told NBC News on Thursday he had asked Mr Comey whether he was under investigation.
"I said, if it's possible would you let me know, 'Am I under investigation?' He said: 'You are not under investigation.'"
"I know I'm not under investigation," Mr Trump told the interviewer, repeating a claim he made in Tuesday's letter of dismissal to Mr Comey.
The president also appeared to undercut the initial White House explanation that he fired Mr Comey on the recommendation of top justice officials.
"He's a showboat. He's a grandstander. The FBI has been in turmoil. I was going to fire Comey. My decision," Mr Trump said.
"I was going to fire regardless of recommendation."
"There's no collusion between me and my campaign and the Russians," he added.
Mr Trump recently tweeted that the Russia-Trump collusion allegations were a "total hoax".
But on Thursday he denied he wanted the FBI inquiry dropped.
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