"At the time, I'd done my best to be tough with him," he said.
"I knew he was weird and, with all his mannerisms, rather irritating - I had no interest in making a soft piece about Jimmy the Charity Fundraiser.
"The dark rumours - of sexual deviance, of being unemotional, of having a morbid interest in corpses - were one of the reasons I'd taken him on as a subject.
"I wanted to get the goods on Savile. The trouble was, I had no clear sense of what those goods were."
In 2001, Theroux reported Savile to BBC bosses over allegations he had slept with a 15-year-old girl, but this was not passed on to police.
After Savile's death in 2011, aged 84, it emerged that the broadcaster and long-time charity campaigner had sexually abused hundreds of women and children.
He molested victims as young as five at NHS hospitals during decades of unrestricted access and as many as 72 victims while working at the BBC.
In his 2000 documentary, Theroux questions Savile over rumours that he was sexually interested in children.
When Theroux challenged him after rumours of paedophilia, Savile said: "We live in a very funny world. And it's easier for me, as a single man, to say 'I don't like children', because that puts a lot of salacious tabloid people off the hunt."
Theroux asked: "Is that basically so the tabloids don't pursue this whole is he or isn't he a paedophile line?"
"Oh, aye," he said. "How do they know whether I am not? How does anybody know whether I am? Nobody knows whether I am or not. I know I'm not... That's my policy and it's worked a dream."
The new documentary is due to be shown on BBC2 on Sunday.