Adrian Solano landed in France on 19 January on his way to a training camp in Sweden but police turned him back.
Solano said border agents doubted he was even a skier and asked if there was snow in Venezuela.
He is currently competing in Finland, but the episode cost him a month's lost training.
The dubious honour of being called the "world's worst skier" came after a disastrous performance in the qualifying round of the Nordic World Ski Championships.
He nearly did not make it out of the blocks as he wobbled his way to the starting line, but it was his first time skiing on snow having previously only trained on wheels.
Read more about his performance in Lahti.
Solano said he was questioned upon landing in Paris. "They did not believe that I ski in Venezuela," he told the Agence France Press news agency.
"I told them that we train on wheels. I only had â‚¬28 with me and the police accused me of trying to immigrate because things were going badly in my country."
"They discriminated against me because of my dress, my face or appearance," said Mr Solano, who was deported a few days later.
His trainer said that the police laughed at him. "They said skiing didn't exist in Venezuela," coach Cesar Baena said.
Venezuelan Foreign Minister Delcy Rodriguez tweeted on Thursday that "following instructions by @PresidentMaduro we will deliver a strong protest to the French government for the affront against the Venezuelan athlete".
In a second tweet, Ms Rodriguez said that "the insult against Venezuelans is absolutely unacceptable" and blamed opposition groups for bringing Venezuelans into disrepute.
The country is deeply divided into those who support President Nicolas Maduro and those who blame him and his socialist policies for the economic crisis the country is experiencing.
Venezuela is to deliver a "strong protest" to France over its treatment of a Venezuelan cross-country skier, dubbed the "world's worst skier".