"They are not even letting me go home to get my bags. I have no clothes or money on me ... They did not give me any notice," she broke down and told the channel.
Bipin Bihari, a deputy police chief in Bombay, told the Press Trust of India news agency that Khan, who carries a Norwegian passport, was being deported for working while holding a tourist visa.
"Iranian-born Khan will be sent back to Norway on the first available flight. She was on a visitor's visa but she has engaged in several commercial ventures," said Bihari.
He added that immigration authorities had warned her last year.
"We issued notices last year, in view of which she had gone back to Norway, but she has returned again this year to work," Bihari said.
Model-turned-actress Khan made a screen breakthrough two years ago with a raunchy Hindi song "Chadti Jawani".