Khan was visiting the Connecticut-based Ivy League institution yesterday as a Chubb fellow, one of the highest honours bestowed by Yale and whose previous recipients have included presidents and Nobel prize winners.
"I have always wanted to study at an institution like Yale. This is such a great opportunity that I wish my parents were alive to see that I have got the Chubb fellowship," Khan told reporters here before addressing over 1000 students, faculty and members of the Indian community in a 30-minute lecture.
Khan, 46 said he hopes one day his children would study at Yale adding that hopefully they will be good enough to come to the university.
Describing receiving the fellowship as a "humbling" experience, Khan said he is still "numb" by the fact that he has been given the honour. "I have not got over it. I still do not know what I have done to deserve this," he said.
The Indian actor said he would like to tell the students at Yale and across the world that they should relentlessly pursue what they feel will make them happy.
"If you like something just keep on doing it as you never know when you will again get an opportunity to do what you truly love," he added.
Khan said there is a perception in India that those who work in the creative field like him will not be able to add to society. "I am not being cynical but back home in India people do not really believe that film actors or people in the creative arts really will be able to add to society. I end up being just a part and parcel of media gossip and nonsense which I don't understand at all," he added.