The 28-year-old was spotted with the animal by neighbours, who called the police.
According to Standard Kenya, when officers confronted the man he insisted that the donkey was a prostitute he had hired for 20 Zimbabwe dollars earlier that evening.
He explained that he had taken the "lady" home, where they had decided to have sex in his backyard before they got into the house.
"I don't know how the prostitute became a donkey," he said.
"I think I am also a donkey. I do not know what happened when I left the bar, but I was seriously in love with the donkey."
The local magistrate has ordered that the man, who was arrested for his actions, be examined by government doctors to assess his mental health.