The director, who is married to actor Aamir Khan, made her debut with drama Dhobi Ghat in February.
She told the Hindustan Times: "There's need to have arthouse theatres to show films that are not necessarily popular in content because I think venues like this will help understand that language of such kind of cinema.
"I think India is opening up to such films and slowly the audience is also increasing.
"If I as a filmmaker take a very radical subject, which might not get an audience in the first week, multiplexes wouldn't agree to let it play on their screens. They would throw me out in the very first week.
"They would not keep me until they get at least 40 percent of the audience. So the films that take risks isn't the right choice for multiplexes.
"But I am fortunate that I make a film the way I want it to be and I even got the release that I wanted it to be."
Producer Khan revealed in February that Dhobi Ghat had collected over double its budget in the box-office.
Rao directed the music video 'Switty Tera Pyaar Chaida' from the soundtrack of Delhi Belly, which co-starred her husband's nephew Imran Khan. Watch the video below: