Neither the Swedish foreign ministry nor ministry of defence have heard of Bildt, who emigrated from the country in 1994, according to newspaper Dagens Nyheter.
“We have no spokesman by that name,” Marie Pisäter of the Ministry of Defence (Försvarsmakten) told Dagens Nyheter.
The foreign ministry also told the newspaper that it had no link with Bildt.
Bildt appeared on the Fox News channel on Thursday, where he was interviewed by one of the station's most prominent presenters, Bill O'Reilly.
During the section, Sweden was described as a country plagued by crime – particularly rape – with rises in crime linked to immigration.
On Thursday night, the Swedish foreign ministry sought to address the ongoing media storm about the country's crime rates via a post on its website.
Bildt left Sweden in 1994 and changed his surname in 2003, reports news agency TT. The 'security advisor' is reported to own a number of security firms in the US.
Bildt has himself been convicted of a violent offence in the US and was given a one-year prison sentence in 2014, according to Dagens Nyheter, which cited documents from Arlington General District Court in Virginia.
In a mail to Metro and Dagens Nyheter, Bildt said that the official-sounding title did not come from him.
“I participated in Bill O'Reilly's show on Fox News. I had no control over the choice of title, which was made by Fox News' editor. I am an independent analyst based in the USA,” wrote Bildt.
Meanwhile, President Trump pressed on with his depiction of Sweden as a troubled country at a rally near Washington Friday – without going into specifics.
“Take a look at what happened in Sweden. I love Sweden. Great country. Great people. I love Sweden. But they understand, right, the people over there understand I'm right,” he said.
Trump's remarks earlier this week were in fact highly controversial in Sweden.
Fox News was previously named by Donald Trump as the source of information for his claims about “what's happening in Sweden” last Friday.