Wine had earlier said he was placed under house arrest in an attempt to stop his Independence Day Concert. He later shared a video of himself hopping onto a motorbike surrounded by dozens of cheering supporters.
He captioned the video, "Busabala Final destination," the venue of his canceled concert.
The Ugandan police on Tuesday said the concert was not approved because they did not have the manpower to provide security for those attending the show.
"We are unable to provide adequate security as police officers will be at the Independence Day celebrations in Sironko and other authorized venues," police spokesman Patrick Onyango said in a statement.
However, Wine disagreed with police saying security personnel deployed to his homes could have been sent to the show instead.
He joined politics in 2017 as an independent and has remained a thorn in President Museveni's flesh condemning his policies and singing songs against his government.
In September, Uganda's army designated red beret, popularly won by Wine and his supporters as an article of military clothing, and civilians found in possession of one could go to jail. Wine had previously called the beret a "symbol of resistance."
Army spokesman Richard Karemire told CNN the decision had nothing to do with the lawmaker.
"Every organized institution has a formal dress code that reflects its identity and outlook. This has now been achieved," Karemire said.
Wine later held a press briefing where he wore a red beret and told his supporters to ignore the ban. His campaign logo on the hats differentiates them from military garb, he said.
For months, Wine has been traveling the country campaigning and building is grassroots base through local elections.
"We've done some massive eye-opening of the people," Wine said "We sensitize our people... make sure they take charge of their own vote."