The incident happened overnight Saturday as Lochte, Gunnar Bentz, Jack Conger and Jimmy Feigen were taking a taxi from the French Olympic team's hospitality house back to the Olympic Village, when they were pulled over by men posing as police.
"We got pulled over, in the taxi, and these guys came out with a badge, a police badge, no lights, no nothing just a police badge and they pulled us over," Lochte told NBC News. "They pulled out their guns, they told the other swimmers to get down on the ground — they got down on the ground. I refused, I was like we didn't do anything wrong, so — I'm not getting down on the ground."
Lochte continued, "And then the guy pulled out his gun, he cocked it, put it to my forehead and he said, 'Get down,' and I put my hands up, I was like, 'Whatever.' He took our money, he took my wallet — he left my cell phone, he left my credentials."
Initially, there were conflicting reports of what happened as the International Olympic Committee denied any incident took place.
Lochte swam a pair of events in Rio, winning gold in the men's 4x200-meter relay.