The Harry Potter star confirmed the story in an interview with Metro.
Oldman said: "Maybe I wasn't ready, or maybe I just had a bad day? Maybe my audition wasn't very good? But you can't not enjoy the irony.
"I really wanted to go. That was my sort of dream because so many of the people I looked up to had been there."
He added that if he had not become an actor, he would have "done something creative".
Oldman quipped: "I remember telling a career officer at school that I wanted to be a cameraman at the BBC... he looked at me like I had just landed from Mars."
The actor, who voices peacock Lord Shen in Kung Fu Panda 2, also told the paper that he and his children are not fans of 3D movies.
Oldman will reprise his role as police commissioner Jim Gordon in new Batman film The Dark Knight Rises next year.
He will also play George Smiley in a big-screen adaptation of John le Carré's novel Tinker, Tailor, Soldier, Spy. The film will be released on September 16 in the UK and November 18 in the US.
Watch Gary Oldman discuss The Dark Knight Rises with Digital Spy below: