He added "I was threatened with arrest if I did not get in their private car and accompany them to two ATMs to withdraw a large sum of money for a bribe.
"I'm not sure what's more depressing, the fact this stuff is happening to foreigners so close to the Olympic Games or the fact that Brazilians have to live in a society that enables this absolute bullshit on a daily basis. This place is well and truly f***ked in every sense of the word imaginable."
In February Lee spoke about his life in Rio - where he had been living for 10 months.
"I decided to pack up my life and move here to pursue my dream of being a professional athlete and training in Brazilian jiu-jitsu full time at one of the best gyms in the world," he said in a Fairfax column about Kiwis living overseas.
"I would have to say the greatest advantage (of living in Rio) would be the weather, which is amazing almost all of the time - even during the winter it's hot enough to go swimming at the beach. Also the cost of living is much lower than New Zealand," he said.
"There are obvious disadvantages, such as crime and personal safety but I would urge this isn't a big enough problem to discourage people from visiting. The language barrier can be tough at times as very few people speak English, so learning Portuguese is a must for day-to-day life."
This came after two members of the Australian Paralympic sailing squad were robbed at gunpoint last month.
Paralympic sailor Liesl Tesch and team official Sarah Ross were confronted by two men while riding their bicycles in at Rio park, Dailymail reported
One of the men was carrying a pistol and the women were robbed of their bicycles.
A spokesman from the Ministry of Foreign Affairs and Trade said it did not have information on the incident but pointed to its advice section.
"Reports of express kidnappings in Brazil are common in major cities. This is when criminals abduct a victim for a short amount of time and force them to withdraw funds from their bank account. To reduce the risk of this occurring we recommend you use ATMs that are located in public places during daylight hours or ATMs located within bank branches."
Security issues ahead of Rio Olympics
Security of fans and athletes has became a major concern on the eve of next month's Olympics.
Murders rose sharply in the first half of 2016, just as officials wanted to use the Aug. 5-21 Olympic Games to showcase the city as a tourist destination. Shootouts erupt daily, even in Rio slums where community policing programs created to pacify them had successfully rewritten the narrative in recent years, AP reports.
The number of people killed by police, who many residents accuse of shooting first and asking questions later, has spiked in the past two years after dropping significantly the previous six. Police, in turn, are increasingly under attack: 61 have been killed in Rio since January, the majority while off duty.
"2016 has been a very bad year. We have seen a dramatic increase in homicides, robberies and other crimes," said Ignacio Cano, a sociologist at the Violence Studies Lab of Rio de Janeiro State University. "We lost a big opportunity to transform police and develop a new public safety model."
Law enforcement experts say Brazil's worst recession since the 1930s is at the heart of the surge in violence in Rio. A financial crunch in the oil-producing state has put thousands of government workers' salaries and pensions on hold, police budgets have been slashed and daily announcements of layoffs have added to the angst.
Rights groups additionally blame a culture of combat still at the core of much of Rio's law enforcement, instincts more likely to emerge when officers feel under attack.
Cano says tourists coming for the Olympics will likely be spared the violence lived daily in the slums, though it periodically does spill into the city's tourist-friendly and affluent south. The 85,000 soldiers and police assigned to patrol the streets is a force double that of the 2012 Games in London.
On a recent afternoon, two Associated Press journalists watched as half a dozen officers sheltered behind a cable car station shot it out with suspected drug traffickers in Complexo do Alemao, a sprawling cluster of slums in north Rio. Minutes after the gunfire stopped, several schoolchildren walked by the building as gun-toting police stopped and frisked drivers and bikers.
Amnesty International counted 265 such shootings last week, the first since launching a crowdsourced app to help alert people living in violence-plagued areas.
