"Norwegians are very complicated. I think you're one of the most interesting people I've ever encountered," he told the interviewer, contrasting his views to those of his character Frank 'The Fixer' Tagliano, who sees the locals in Lillehammer as naive and simple.
Van Zandt was in Norway to mark the launch of the show's second series, which will start broadcasting on NRK on Wednesday.
In the programme, a co-production between NRK and US web film company Netflix, he plays a New York gangster who is moved to Norway as part of a witness protection programme.
While Van Zandt stopped short of committing himself to a third series, he said he always enjoyed the time he spent in Lillehammer, the town where the series is set.
"I love it here. I love this town. I really do. It's very different for me. At my stage in life, you want some new adventures, and just living in a snow environment is a new experience for me. It's nice clean dry white sparkling frozen snow. It's magical to me. I just really look forward to coming back here. And I'm glad to do a second season."
He said that he was fascinated by the contrast between the Norway's strong social values and its individualistic people.
"There's a lot of contradictions and paradoxes in the Norwegian culture that I find fascinating. It's very community based, its a very social democratic society, but you get to know Norwegians and they're very very individualistic, very much tough and independent individuals making up a society which is very much community-oriented, which is an odd paradox, right there."
He said that he hoped that the series helped bring Norway's talent to world attention.
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"The talent in Norway is enormous and unique, and in a selfish way I would like to see it exported to the world," he said. "That's something we've accomplished with the show."