The flamboyant former NBA star's visit came after North Korea abruptly withdrew its invitation to Robert King, the US special envoy on North Korean human rights issues, who was expected to head to Pyongyang in a bid to secure Bae's release.
Bae, 45, was sentenced to hard labour for 15 years in May for crimes against the state. He had been arrested in November after entering the North with a tour group and his health has been deteriorating since he was imprisoned.
Though there had been speculations that during Rodman's visit the detained American would be released, he said ahead of his visit he was going for "another basketball diplomacy tour".
Wearing his trademark dark sunglasses, the 6-foot 7-inch Rodman emerged at Beijing's international airport, a common waystation for travellers to and from North Korea, with an unlit cigar in his mouth.
"That's not my job to ask about Kenneth Bae. Ask Obama about that. Ask Hillary Clinton," he told a throng of reporters. "I don't give a shit."
Kim and Rodman spent quality time together by having dinner and watching a basketball game during Rodman's five-day trip, the North's KCNA news agency reported.
The report added Kim warmly welcomed Rodman and had a "cordial talk". Rodman reportedly expressed his thanks to the leader for spending time with him, saying Kim's greeting is "an expression of good faith towards the Americans".
Rodman showed reporters in Beijing pictures of him meeting Kim, and said he had given Kim a gift of his Bad Boy vodka, which "he loved".
"He is my friend for life. I don't care what you guys think about him. I don't give a shit about what people around the world think about him," he added.
Rodman's latest trip was sponsored by Irish bookmaker Paddy Power.
Kim, the third of his line to rule North Korea, is a basketball fan and appeared to get along well with Rodman on the earlier visit, with the two of them pictured laughing, eating and drinking together and watching an all-star basketball match.
Rodman first visited Pyongyang earlier this year at a time when North Korea was threatening the United States, South Korea and Japan with missile strikes.