Khan said his filmmaker wife Kiran Rao had even suggested leaving the country.
Mr Khan told a journalism awards ceremony that he was "alarmed" over the rise in acts of intolerance in the "last six to eight months".
Earlier this month fellow superstar Shah Rukh Khan also spoke out against what he called "extreme intolerance" in India.
A movement that began with writers returning state awards has spread to scientists, historians and filmmakers.
They have cited the killing of rationalists MM Kalburgi and Govind Pansare, as well as the lynching of a man over suspicions he consumed beef, as examples of rising intolerance in the country.