The 'I Sat By The Ocean' band played at the hip-hop mogul's Made in America festival in Philadelphia earlier this month, but didn't enjoy the experience, as they were treated in a heavy handed manner by security.
Singer Josh Homme told US station CBC Radio 2: ''Made in America? with Jay Z? That guy's a kook, you know, He has security frisking the bands on the way in.
''I just told them [security] if you open up my bag we're not playing, so I guess its up to you if we're playing or not.
''I just put my bag up there and said, why don't you figure out what you're going to do.
''The idea that they frisked all my guys and stuff, means you're in a different place ... no-one's ever done that. Maybe that's a hip-hop thing or something.''
Josh added he was also less than impressed when he was then handed a bottle of champagne from Jay Z, because he was then asked to pose for a photo with it.
He added: ''He also gave us some champagne then wanted us to take a picture with it. I was like, 'That's not a gift - that's a marketing tool.' I destroyed it, because I thought it was rude overall.''
The BBC drama starring Aidan Turner returns to BBC One on September 4th.