Officers arrived at the National Conservatism event in the Belgian capital on the orders of a mayor.
The conference, where former Home Secretary Suella Braverman also spoke, had already struggled to find a venue after two cancellations.
Mr Farage, the honorary president of Reform UK, said: "What just happened in Brussels this afternoon was a disgrace. For the mayor and police to shut down a peaceful political event makes me more convinced of Brexit than ever."
In a furious video on social media, the former Ukip leader accused them of behaving "like the old Soviet Union".
Mr Farage said: "At the meeting, over the next two days, you've got the prime minister of Hungary, you've got a bishop, you've got members of the European royal families coming, well-known international businessmen and women, politicians, leaders of parties that will win elections.
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