He was speaking in a BBC interview after a Russian court declared him "under arrest in absentia" over the 1990s murder of a Siberian mayor.
"Definitely I'm considering asking for asylum in the UK," he said.
Mr Putin "sees me - it's obvious now - as a serious threat", he said.
Once Russia's richest man, the former head of the now defunct Yukos oil firm spent 10 years in a Siberian prison on fraud charges, which he says were politically motivated.
Mr Putin pardoned him in 2013 and he now lives abroad, mainly in Switzerland.
"I'm considered by President Putin as a threat, economically, because of the possible seizure of Russian assets abroad, and politically, as someone who will potentially help democratic candidates in the coming 2016 elections," he said.
Russia will hold elections to the lower house of parliament - the State Duma - next year. The Duma is currently dominated by Mr Putin's supporters.
The BBC's Richard Galpin asked Mr Khodorkovsky whether he felt at risk in light of the murders of prominent opponents of Mr Putin in recent years. Among them was former secret agent Alexander Litvinenko, poisoned with radioactive polonium in a London hotel in 2006.
"The history of deaths of opponents of this regime is impressive... but I was in jail for 10 years, I could have been killed any day easily. In London I feel much safer than during those years," he replied.
When he left Russia in 2013 he said he would not get involved in politics - which was widely believed to have been the reason for his early release.
He told the BBC on Wednesday that he would "help young political activists in Russia to gain political experience and present an alternative to the existing regime".
He said it was "far too optimistic" to speak of regime change in Russia now, "but I'm quite confident that within 10 years the regime will be changed and I hope I will play a significant role in that".
Earlier, referring to the Russian order for his arrest, he said the Moscow authorities had "gone mad".
He is accused of ordering several of his employees to kill both the mayor and a businessman, who survived.
Investigators allege Vladimir Petukhov, the mayor of Nefteyugansk, was killed on 26 June 1998 for demanding Mr Khodorkovsky's oil firm, Yukos, pay taxes that the company had allegedly been avoiding.
Local businessman Yevgeny Rybin was allegedly targeted because his activities "clashed with Yukos's interests", Russia's powerful Investigative Committee (SK) said in a statement (in Russian).
Mr Rybin survived a gun attack in November 1998 and a second attack on his car in March 1999, when another man in the vehicle was killed and several people were injured.
Five people have already been tried for the attacks and the arrest warrant is unlikely to make any difference unless Mr Khodorkovsky returns to Russia, the BBC's Sarah Rainsford reports from Moscow.
Armed police raided the Moscow offices of Mr Khodorkovsky's Open Russia pro-democracy movement on Tuesday, in a move that authorities said was linked to allegations of tax evasion. The flats of at least seven activists who work for Mr Khodorkovsky were also searched.
After Mr Khodorkovsky was arrested in 2003, Yukos was broken up and taken over by a state oil firm.
Last year an international arbitration court in The Hague said Russian officials had manipulated the legal system to bankrupt Yukos, and jail Mikhail Khodorkovsky.
The court told Russia to pay former shareholders in Yukos $50bn (Â£32bn) in compensation.
1963 - Born in Moscow, son of chemical engineers
1987 - Founds Menatep bank
1995 - Buys Yukos for $350m, with Menatep assuming $2bn in debt
2003 - Arrested for tax evasion, embezzlement and fraud
2005 - Found guilty on six of seven charges, jailed for eight years
2007 - Yukos declared bankrupt
2010 - Convicted of embezzlement and money laundering
2013 - Pardoned by President Putin after request for clemency; leaves Russia for Germany
2015 - Charged with ordering 1990s murder of Siberian mayor; says he is considering asking for political asylum in the UK
Former oil tycoon Mikhail Khodorkovsky, a fierce critic of Russian President Vladimir Putin, says he is considering applying for political asylum in the UK and feels safe in London.