Mr Wilders is visiting to help launch the Australian Liberty Alliance, which he inspired. He says the party wants "Australia to stay Australian" and stood for "not giving in to multiculturalism".
He says Europe can't handle the growing number of Islamic asylum seekers, saying it will cost billions of euros in coming years and change society and culture entirely.
"Please don't think that it won't happen to Australia tomorrow," he told reporters.
He said many were "not refugees at all" and suggested they seek safe haven in the more stable Arab nations like the UAE, Jordan and Oman.
"What about Saudi Arabia and all of those rich Gulf states?" he said. "There are only a few hundred refugees that they are taking in. I mean, it's their people, it's their religion, it's their culture.
"And the reason that they are not taking them is most of the people want to come to Europe, not really to be safe but to enjoy our big fat welfare state.
"You should deal with it in a straightforward way and you should be a sovereign country and close your borders to these kind of immigrants."
Mr Wilders said he'd warned the party, which has three candidates for the Senate elections, that members would be met by more protesters calling them extremists or bigots.
"I know it will be hard. A lot of people will protest," he said.
"It's all worth it because we have truth on our side. "I'm sure that many Australians will find hope in this new party."
Mr Wilders' security team outnumbered the small but vocal group of protesters, who relentlessly chanted: "Say it loud, say it clear, racism's not welcome here." When a disabled protester who needs a cane to walk tried to leave, Mr Wilders' security forcibly stopped him and were not just yelled at by other activists, but also senior members of the state opposition, who watched on from a balcony in horror.
"Let the guy up the stairs," Labor MP Margaret Quirk shouted. "You're not authorised." Opposition Leader Mark McGowan said it was a deliberately defiant act to hold the press conference next to the WA parliament given Premier Colin Barnett had repeatedly said Mr Wilders was not welcome at state government venues.
"He decided to come here to cause maximum mayhem," Mr McGowan said.
"What I was told was he wasn't coming on public property. I emerged from my office and there he was.
"His presence is disruptive, it's offensive to many people. I don't know why anyone would take any notice of a foreign politician coming into this country and trying to spread hate and fear." Mr McGowan described the security team as "stormtroopers".
"This is the sort of stuff that went on in Germany in the 1930s and I don't want to see it happen in Australia," he said.