Addressing a rally on Saturday, he had said, "look at what's happening last night in Sweden", as he listed parts of Europe hit by terrorist attacks.
With no such incident reported in Sweden on Friday, the country asked the US administration for an explanation.
Mr Trump tweeted on Sunday that he had been referring to a TV report.
He said it had been broadcast on Fox News but did not say when. He may have been referring to a Fox News programme on Friday night, which looked at refugees and crime in Sweden.