The 46-year-old outlined how he was going picking his daughter up and hadn't realised how comfortable he'd become in the city.
Cooper, who shares daughter Lea De Seine Shayk Cooper with Russian model Irina Shayk, spoke about the encounter on Armchair Expert with Dax Shepard.
Revealing exactly what happened, Cooper said: "I used to walk around New York City all the time with these [headphones] on - this was pre-pandemic - I was on the subway [at] 11:45 to pick up Lea downtown at Russian school and I got held up at knifepoint."
He went on to add: "It was pretty insane. I realised I had gotten way, way too comfortable in the city. My guard was down... I was all the way at the end of the subway.
"Innately, I would just go all the way down to the end. I felt somebody coming up. I thought, Oh they want to take a photo or something. As I turned, I'm up against the post like it's The French Connection or some s***, and I turned. I looked down and I see a knife... I see the person's eyes, and I'm taken by how young they are."
Instead of doing what most of us would do in that situation (cry, pee, or worse), Cooper of course did a runner and said: "I just started booking, just started running.
"I jumped over the turnstile, hid around the white, tiled entrance to the subway [and] took my phone out. He jumped over, running away. I took a photo of him. Then I chased him up the stairs. He started running up 7th Avenue. I took two more photographs of him."
Surely passers-by would have assumed this was a new film he was starring in.
He explained how he told two police officers and let them have a look at the pictures he'd taken, adding: "The guy kept saying - it was so interesting - he's like, 'Are you stabbed?' I was like, 'No, no.'
"He was like, 'Check to see if you're stabbed.' What happens is people get stabbed and they're in shock. I looked to see if he was right... And then I got back on the subway and picked up my daughter."