Lochte was standing on stage next to his partner, professional dancer Cheryl Burke, after their performance as judges were critiquing their moves when two men ran onto the stage in protest, according to an ABC affiliate in Los Angeles.
Security guards tackled the men and several protesters were escorted out of the audience, the station reported.
"I'm doing good. So many feelings are going through my head right now. A little hurt. I came out here and I wanted to do something I was completely uncomfortable with, and I did," Lochte said when the network returned from a commercial, according to several media reports.
The Los Angeles Police Department said two Los Angeles men in their 40s were arrested for trespassing. No one was injured during the incident, the department said.
ABC News reporter Jason Nathanson showed a photo on Twitter of two men in anti-Lochte T-shirts in handcuffs.
The 12-time Olympic medallist is appearing on the 23rd season of "Dancing With the Stars," in which celebrities are paired with professional ballroom dancers and voted off by the public.
The show has been a popular venue for those seeking a comeback or trying to change their image.
Past contestants have included Bristol Palin, daughter of the 2008 Republican vice presidential candidate Sarah Palin, singer Donny Osmond, and retired Olympic speed skater Apolo Ohno.
(Reporting by Brendan O'Brien in Milwaukee; Editing by Michael Perry, Robert Birsel)
