The Atonement star was visiting the city with her mum Sharman on a recent press tour when she found a strange man in her suite.
The person subsequently disappeared and Knightley admits she now researches each hotel before making a reservation because she is convinced some are haunted.
She tells U.S. TV host Jay Leno, "I was staying in this hotel... I will keep the name of the hotel out of there... I was staying in this room, my mum had actually come out to stay with me. And I was very lucky, it was a very nice room, it had a bedroom and a sitting room. So I walked into the sitting room, I had just gotten out of the shower, and there was a guy sitting on the sofa.
"And he had a burgundy shirt on and he had short black hair and I thought, 'Oh, some guy's come into my room.' And I said to him, 'I'm really sorry you're in my room,' and he disappeared. And then my mum came in and was like, 'Who are you talking to?'...
"I can't figure out what it was, other than a ghost... I can't find another explanation for it... I haven't necessarily stayed in that hotel again. I thought probably it was that he had gotten the wrong room... I sound crazy don't I?"