Jon Pagh, from Denmark’s TV 2 Sport, was told by a security guard that he must remove the armband, which is being worn as a protest of all forms of discrimination during the tournament.
As the official ordered the removal and attempted to block filming, Pagh told him: “I respect that you're telling me that but I can't take it off.”
He added: “Why is this not allowed? Is it because of the colours?
“It's just one love. It’s just respecting everybody.”
The official then walked away from the scene, while Pagh kept the armband on.
Pagh later said that he and his colleagues left the hotel where they had been reporting and described the incident as “unpleasant”.
The wearing of the armband has become a political issue in Qatar, a country where homosexuality is punishable by a jail sentence or even death.
Denmark were among seven European national teams, including England and Wales, who dropped plans to wear the anti-discrimination armband following threats by Fifa to impose sporting sanctions.
Watch: England team should have worn OneLove armband, says Roy Keane
Fifa announced on Saturday its own plans for an armband to highlight a series of social campaigns at each stage of the tournament.
They insisted that the only armbands permitted to be worn during the tournament must be “provided by Fifa”.
A Fifa statement said: “Fifa is an inclusive organisation that wants to put football to the benefit of society by supporting good and legitimate causes, but it has to be done within the framework of the competition regulations which are known to everyone.”
England captain Harry Kane instead wore Fifa’s ‘No discrimination’ armband – which is not rainbow coloured – as England started their campaign against Iran on Monday afternoon.
A joint statement from the seven European countries who backed down in wearing the OneLove armbands confirmed they would no longer be worn due to fear of a yellow card being issued.
“Fifa has been very clear that it will impose sporting sanctions if our captains wear the armbands on the field of play,” the statement said.
It added: “As national federations, we can’t put our players in a position where they could face sporting sanctions including bookings, so we have asked the captains not to attempt to wear the armbands in Fifa World Cup games.”
It comes as rainbow bucket hats were confiscated from Wales supporters in Qatar this week.
Former Wales team captain Laura McAllister, who is an ambassador for her country at the tournament, was among a number of supporters told to remove the hats.
Some have claimed they were told it was a “banned symbol” despite Fifa previously saying rainbow coloured flags and clothing were not prohibited in the stadiums.