Trump - who announced last Monday that he will not run for high office - told Fox & Friends after the April 30 event that he didn't like being the butt of the president's jokes.
Galifianakis and Jon Hamm were among the many celebrities in attendance for the annual dinner, which took place at the Washington Hilton.
During an interview on Conan, the Hangover Part II actor insisted that the highlight of the night was watching Trump's reaction to being teased.
"Donald Trump was sitting nearby. Everybody was laughing at Donald Trump and it was the most beautiful thing, to have the bully of the world - it was fantastic," Galifianakis claimed.
"It was really great. I wanted to go up to him and go, 'Didn't you think any of that was funny?' But you don't want to engage with somebody that's so grotesque."
Galifianakis stars with Ed Helms and Bradley Cooper in The Hangover Part II, which is released in cinemas on May 26.
> Hangover star bans parents from film
Watch Zach Galifianakis discuss the White House Correspondents Dinner below: