Veteran actor-director Clint Eastwood's film, which was released on December 25 and has garnered six Oscar nominations, tells the story of Chris Kyle's four tours in Iraq as a sniper.
Kyle, played by Bradley Cooper in the movie, is officially credited with killing 160 people in Iraq.
"This 'Sniper' film which has made so much noise... encourages a young person, for example a Christian or non-Muslim, to harass a Muslim as much as possible," the official IRNA news agency quoted Khamenei as saying.
"That's what they say about the film. I haven't seen it myself," he added.
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Khamenei's comments, published on the website khamenei.ir which showcases his speeches, were made three weeks ago after the early January attacks by jihadists in Paris against satirical magazine Charlie Hebdo and a Jewish supermarket that killed 17 people.
Khamenei denounced "propaganda against Muslims in Europe and America", saying there was "no trace of aggression against non-Muslims by Muslims" since the advent of the Islamic republic in 1979.
Iran recognises three minority religions within the country -- Christianity, Judaism and Zoroastrianism -- and their adherents have certain rights.
However it does not recognise Baha'is, considering their Israel-based religion to be heretical.
Kyle and his friend Chad Littlefield were murdered at a Texas shooting range in February 2013. A former US Marine is currently on trial charged with both killings.