The 'Good Omens' star has recalled how he was once picking up Lily, now 20, from an ice skating lesson when the Beckhams called security as they thought Michael - who said he was ''quite hirsute'' at the time - was abducting his own child.
Speaking on The Graham Norton Show, which airs on Friday night (31.05.19), he said: ''I was in Los Angeles and went to pick her up from an ice skating lesson. When I got there the Beckhams were there checking out the rink for lessons. I was quite hirsute then and when Posh saw me she called security thinking I was a tramp trying to abduct my daughter!''
Meanwhile, Michael previously confessed he is ''in awe'' of his daughter and says his life changed completely when she came into the world.
He said: ''She changed my life when she was born but as Lily's become more of her own person with her own independent life, I've realised how much I thoroughly enjoy her company. She's given me an insight into the pressures young people are facing - Lily's 20 now - and that rollercoaster ride of growing up with social media. As I watch her work her way through these pressures with courage, tenacity and resilience, I'm really in awe of her.''
And Michael also praised his former partner Sarah Silverman for teaching him to stay true to what matters to him.
He added: ''All the women I've shared my life with as partners have changed me in all sorts of ways. Sarah is extraordinary. She's battled depression but has such courage. Being with her for five years, I got to see the world of stand-up comedy. It requires bravery to take such risks and address the issues she does in an age where people are so quick to damn you. She stays true to what matters to her and has inspired me to be more courageous in that respect too.''
His new album Underneath It All is out now.