The 53-year-old German has 453 piercings on his body and face, as well as two horn implants on his forehead.
Mr Buchholz told the BBC that airport staff said they feared he may be practising “black magic”.
The computer expert was recognised by the Guinness Book of Records in 2012 as the world’s most pierced man.
Mr Buchholz told the Associated Press news agency that he was initially allowed through immigration, but was later stopped prior to customs and put on a flight to Istanbul.
As a result, his scheduled appearance at the Cirque le Soir nightclub in Dubai’s Fairmont Hotel on Friday was cancelled.
The club said in a statement on Sunday that it had done its best to get Mr Buchholz into the country but their efforts were unsuccessful.
Posting on Twitter after the incident, Mr Buchholz vowed never to return to Dubai again.
He said his luggage was still lost in Dubai.
Police and officials in Dubai have yet to comment on the incident.