Donald Trump said he declined to answer while appearing under oath during a New York state civil probe into alleged fraud at the former president's family organisation.
“I declined to answer the questions under the rights and privileges afforded to every citizen under the United States Constitution,” Mr Trump said in a statement.
The Constitution's Fifth Amendment offers protection against self-incrimination.
The deposition is not public.
Mr Trump wrote: “I once asked, 'If you're innocent, why are you taking the Fifth Amendment?' Now I know the answer to that question. When your family, your company, and all the people in your orbit have become the targets of an unfounded, politically motivated Witch Hunt supported by lawyers, prosecutors, and the Fake News Media, you have no choice.”
New York Attorney General Letitia James said her investigation had found evidence that the Trump Organisation — which manages hotels and other real estate — misstated asset valuations to receive tax breaks and other benefits.
Two of Mr Trump's adult children — Ivanka and Don Jr — testified in recent days, the Associated Press reported.
Mr Trump has denied any wrongdoing and claims the investigation is politically motivated.
“If there was any question in my mind, the raid of my home, Mar-a-Lago, on Monday by the FBI, just two days before this deposition, wiped out any uncertainty,” Mr Trump wrote.
US media outlets reported that FBI agents conducted a court-authorised search related to missing or the mishandling of documents that had been sent to Mar-a-Lago after Mr Trump left office in 2021.
“My great company, and myself, are being attacked from all sides. Banana Republic!” Mr Trump wrote before the deposition.
Mr Trump condemned the FBI search as a “weaponisation of the judicial system”.
White House Press Secretary Karine Jean-Pierre told reporters on Tuesday that President Joe Biden did not have advanced notice of the raid and respected the Justice Department's independence.
The warrant to search the former president's Florida estate relates to the National Archives and Records Administration, which is charged with protecting presidential records that belong to the republic, Reuters reported.
The former president, who has also been the focus of a Congressional panel investigating the January 6, 2021 attack on the Capitol, has continued to spread falsehoods about the 2020 presidential election as he continues to hint at a potential 2024 run.
Trump supporters outside Mar-a-Lago — in pictures
Agencies contributed to this report