Gadhafi's audio statement was broadcast by a Syrian TV station.
"We won't surrender again; we are not women, we will keep fighting," Gadhafi said.
Rebels have been hunting for the Libyan leader since he was forced into hiding after they swept into Tripoli on Aug. 20 and gained control of most of the capital after days of fierce fighting.
Meantime, rebels say they're closing in on Gadhafi. Rebel fighters near Gadhafi's hometown of Sirte say they've captured Gadhafi's former foreign minister.
Opposition fighters, backed by NATO airstrikes, have been advancing toward three regime strongholds: Sirte, Bani Walid and Sabha. All three places had been given a deadline of Saturday to surrender.
There has been speculation that Gadhafi is hiding in one of those three towns.
The Associated Press contributed to this report.