Police have been attempting to get hold of the actor's phone, which officers hope can aid their investigation.
But despite getting a search warrant more than three weeks ago, officials have been unable to obtain the device.
Mr Baldwin says specifying exactly what is needed from the phone takes time.
In a long video message posted to his Instagram page on Saturday, the 63-year-old said that "any suggestion" that he had been deliberately evasive with investigators was a "lie".
