The legendary British actor was in the former Soviet Union to shoot scenes for his 1996 picture Midnight in Saint Petersburg, and was assigned two machine gun-toting guards to protect him from the local mob.
But he soon relaxed when a gangster approached him in a cafeteria to assure him he was not a target for hitmen.
In his new autobiography, The Elephant To Hollywood, Caine writes, "I was sitting in my usual corner of the cafe... when one of the mafia guys came over and asked if he could join me. As if I could possibly say no.
"'Why do you have all these stupid bodyguards?' he asked. I replied to him all innocently, as if I had no idea of his occupation: 'They say that there's mafia here in St Petersburg and I'm worried about our safety.'
"He let out a great laugh and slapped his thigh. 'You work for...' and he gave the name of a Russian movie company that I didn't quite catch. Did I? He stood up and said: 'We own that. There's no need to worry - you're the safest man in the whole of St Petersburg.'"
Despite the villain's assurances, Caine has no doubt how he feels about the shoot, adding: "It was my worst professional experience ever."