Khan's Indian Premier League (IPL) team Kolkata Knight Riders and Mumbai Indians were set to face off at the Wankhede Stadium here Tuesday and the star would miss the match if the ban is not lifted.
Thackeray said it was "wrong" on the MCA's part to ban Khan from entering the stadium.
"He is the owner of the team. Is he some terrorist," Thackeray said.
Earlier Tuesday, state Congress spokesperson Sachin Sawant appealed to the MCA to lift the five-year ban on Khan for his "misbehaviour" during last year's IPL.
In a letter to MCA president Ravi Sawant, Sachin Sawant said: "After (Khan) publicly apologised for his misconduct, we feel that it would be in the interest of sports if your esteemed organisation shows true sportsman spirit and allows entry."
"A ban is not a democratic punishment especially when the person has apologised. I request you to reconsider the punishment given to him and allow entry for today's match," Sachin Sawant said.
Khan was banned from entering the Wankhede Stadium after he allegedly misbehaved with security officials after an IPL match here May 16, 2012.
A few days later, the MCA, led by its former president, the late Vilasrao Deshmukh slapped a five-year ban on the actor from entering the stadium premises in south Mumbai in the wake of his alleged unruly behaviour.
Khan subsequently tendered a public apology to his fans, the cricket fraternity and his family, but the MCA continued the ban on him.
The MCA informed Mumbai police Monday that it would not permit Khan to enter the stadium for Tuesday's match.
