While Syrians, Iraqis and Afghans have formed the bulk of the thousands of people fleeing to Europe, hundreds of Palestinians have also made the treacherous journey.
And Ai said he could not ignore the decades-old reality of Palestinian refugees due to their "long history".
"It is a big population and has such a complexity of political conditions and affects a huge society," he told AFP.
"If we are doing a documentary film we have to search (for) what happened in this refugee situation in the global sense and Gaza is a very, very important location we have to film in."
The Gaza Strip is home to more than 1.7 million people, over 1.25 million of whom are refugees, according to the United Nations.
Most come from families who left their homes during the war that led to the creation of Israel in 1948, and Ai joked that he arrived "late" to the story.
While the global film world has been focused on the Cannes Film Festival this week, the dissident documentary maker, who was jailed for 81 days over his support for democracy and human rights in China, entered Gaza.
He travelled to a number of parts of the coastal strip, including Jabalia camp in northern Gaza where he met refugees and displaced people whose homes were destroyed during the 2014 war between Israel and Palestinian militants.
Israel and Hamas, the Palestinian Islamist movement which runs the Gaza Strip, have fought three wars since 2008, while Israeli authorities have maintained a blockade on the enclave.
Ai also visited the Rafah border crossing with neighbouring Egypt which Egyptian authorities opened temporarily for two days from Wednesday morning, where he interviewed a number of refugees crossing from Gaza.
He shared a series of photos from Gaza on Instagram, ranging from armed men to a starving tiger in a Gazan zoo.
In another photo, he poses with a number of young Palestinian women by the port in Gaza City.
Mona Karaaz, a medical student at Al-Aqsa University in Gaza, was among them and said she was considering leaving for good.
"I want to travel to Germany or any European country to find a job there. In Europe maybe I can become a scientist," she said.
Signup to our newsletter and follow us on Facebook and Twitter!
'INVISIBLE REFUGEE CRISIS'
Gaza has been run by Hamas since it took the territory by force in 2007 from the rival Fatah movement, which dominates the West Bank-based Palestinian Authority.
Years of talks aimed at reconciliation between the parties have failed.
"We lost hope in the (Palestinian) Authority and Hamas and all the factions," Karaaz said, adding that she hoped Ai "can take our message to the world".
More than 6,000 Palestinians last year arrived in Greece, a major migrant gateway to Europe, according to the International Organization for Migration.
But Chris Gunness, a spokesman for the United Nation's body for Palestinian refugees, UNRWA, said competing UN remits meant they often "fall through the cracks" and do not get the help they need.
Dozens of Palestinians from Gaza drowned when their boat to Europe sank in late 2014.
"Amid the massive refugee flows today, the Palestine refugees are the invisible refugee crisis," Gunness said.
Ai's film, which he said is expected to be shown next year, discusses refugee issues across the globe.
He said he had faced a number of obstacles on his global tour, in which he conducted hundreds of interviews with refugees in Greece, Lebanon, Jordan, Macedonia and elsewhere.
"To shoot (video) in refugee situations is not easy," he said. "All the refugees are oppressed by political powers."
"We had problems but we always overcame those problems," he said.
Ai also shared online photos of his entry and exit visas from Palestinian and Israeli authorities, which are nearly impossible for many Gazans to obtain.
And he called for Israelis and Palestinians to understand each other better.
"We are living in the 21st century. We have to accept all humans are equal. We are not different from each other," he said.
"We have to coexist. We have to understand and to be inclusive to other people -- different types of people -- because humanity is the only thing we have."