Appearing in character as the Kazakh journalist, Cohen said the scene has been turned into “something disgusting” by the “fake news media”.
In a video on Twitter, Borat says: “Jagshemash. I here to defend America’s mayor, Rudolph Giuliani.
“What was an innocent sexy-time encounter between a consenting man and my 15-year-old daughter has been turned into something disgusting via fake news media.”
The character then makes the motion of Pinocchio’s nose growing longer.
He added: “I warn you. Anyone else try this and Rudolph will not hesitate to reach into his legal briefs and whip out his subpoenas.”
Former New York mayor Mr Giuliani has made headlines for a scene from the film, Borat Subsequent Moviefilm: Delivery Of Prodigious Bribe To American Regime For Make Benefit Once Glorious Nation Of Kazakhstan, a sequel to the 2006 Borat movie.
In the new film he is shown in a hotel room with Borat’s teenage daughter Tutar, played by actress Maria Bakalova, who is posing as a TV journalist and helps Mr Giuliani take off his microphone.
He then lies back on the bed and appears to have his hands in his trousers, before Baron Cohen, dressed in lingerie, bursts in and says: “She’s 15, she’s too old for you, she’s my daughter.”
Giuliani has described the video as “a complete fabrication”.
He wrote on Twitter: “I was tucking in my shirt after taking off the recording equipment.
“At no time before, during or after the interview was I ever inappropriate. If Sacha Baron Cohen implies otherwise he is a stone-cold liar.”
He added: “As soon as I realised it was a set-up I called the police.”