The Top Gear presenter claimed that he spent five years playing the part of the mysterious racing driver, whose real identity was yesterday revealed to be 33-year-old Ben Collins.
Asked about Collins's stint on the motoring show, May told BBC Radio 5 Live: "It's very difficult for me personally to be honest, because between 2005 and only three or four weeks ago I was The Stig.
"So this other person who's written this - presumably extremely thin - book about being The Stig for the last four weeks has got a bit of a nerve.
"He's got a creative imagination as well."
May went on to joke: "What was his name again? Ben Collins? Sounds like an accountant."
The Stig's identity was confirmed yesterday after the BBC lost its battle to block the publication of Collins's autobiography, detailing his seven years behind the famous black visor.