"Complicated feeling," the artist told AFP in English.
"I'm very happy because I'm here in Gaza, I'm here to meet the people and to interview the refugees for my documentary film on refugees crisis.
"I visited Jabalia refugee camp, Khan Yunes, and Shejaiya area and I met people that lost houses in the (2014) war, and I visited Rafah crossing."
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Ai has taken a personal interest in the thousands of refugees and migrants who have risked their lives to reach Europe, only to find their path barred by a barrage of border closures.
Last month, he set up a white grand piano in the muddy, rain-drenched makeshift camp at Idomeni on the Greek-Macedonian border, allowing one of the thousands of migrants stuck there to play.
And in February, he draped thousands of lifejackets discarded by migrants arriving in Greece around the columns of Berlin's Konzerthaus concert hall.
The artist in January closed down an exhibition of his work in Copenhagen in protest after lawmakers passed a controversial bill allowing authorities to seize valuables from asylum seekers.