Rodman was spotted by reporters at Beijing International Airport, China but refused to respond to questions put to him.
Four Americans are now being detained in North Korea.
US and South Korean officials earlier said the murder was orchestrated by the North's leader Jong Un. "My goal is to go over there and try to see if I can keep bringing sports to North Korea".
In Tokyo, a visiting senior US official said Rodman's trip is as a private citizen.
He told reporters at Beijing airport Tuesday that he believes President Donald Trump is happy with his visit "to accomplish something we both need".
"This visit will be judged not by who he takes with him but by who, if anyone, he brings back", said Scott Snyder, a Korea expert at the Council on Foreign Relations. "Thanks to my sponsor".
But as much fun as Rodman's previous shenanigans were, the already frosty relationship between North Korea and the USA has hit a deep freeze of late with Pyongyang repeatedly holding nuclear tests at the outset of the Trump presidency.
During the 2014 visit he led a team of retired American players in a basketball game to celebrate Kim Jong Un's birthday.
Former NBA basketball player Dennis Rodman, center, arrives at Beijing Capital International Airport in Beijing, Tuesday, June 13, 2017. But Trump called Rodman's trip in 2013 "smart, " and said Rodman was "street-wise", adding that it might not be a bad idea to pick up the phone when the "world is blowing up around us".
Four Americans are now being held in North Korea, including 22-year-old student Otto Warmbier, who has been sentenced to 15 years' hard labour for attempting to steal a propaganda banner.
The 2014 trip generated a string of negative headlines and an outburst from Rodman during the CNN interview.
During his 2014 trip to the North, Rodman made remarks that appeared to blame Kenneth Bae, a Korean-American man who was held in captivity in North Korea from 2012-2014, for his detention.
Rodman maintained then that he wasn't a diplomat, and it wasn't his job to talk about Bae.
Pyongyang also now has four Americans detained including Kim Dong-chul, a 62-year-old Korean-American, and Otto Warmbier, a US college student.
North Korea has launched 16 missile tests so far this year with the aim of developing a nuclear weapon capable of reaching the U.S.
University of Virginia student Otto Warmbier has been held in North Korea for 15 months, and hasn't even been seen since March previous year, for trying to steal a propaganda poster while on a trip to the state.
Trump weighed in on Twitter last month that North Korea is "looking for trouble" and urged China to help.
The player nicknamed "The Worm" is one of the few Westerners to have met Kim, who took over following the death of his father Kim Jong-Il in 2011.
His visit comes as tensions have heightened on the Korean peninsula over Pyongyang's nuclear and missile tests and its vow to develop a nuclear-tipped missile capable of hitting the USA mainland.
The North has occasionally jailed United States citizens on charges ranging from hostile acts to illegal entry, and released them only after visits by high-profile figures including former president Bill Clinton. "I love the people of North Korea!".