Bert Kreischer's clearing up a wild story about Tom Brady's roast, saying he did NOT have cocaine on him -- like everyone in the arena suspected -- but admits playing it up for the crowd!

The comedian appeared on "Jimmy Kimmel Live!" Thursday night, and spoke about an unaired moment that got the Kia Forum audience jumping -- he showed them a bag full of a white substance and implied he was holding a bit of blow.

Kreischer explains he had a bag full of nicotine pouches, which he put in a clear plastic baggie -- making it look like coke -- and placed it in his pocket.

Welp, comedian Sam Jay took the stage and totally tore into Bert ... calling him a fake party animal who doesn't do drugs. BK laughingly responded by whipping out the little baggie, and showing it to the entire venue, which ended up on the big screens.

Apparently, the place went nuts -- helped along by Bert making sniffing gestures to indicate he actually had cocaine ... but, he's saying it was all part of the bit.

Fortunately, Bert says the director opted not to show it during the live event ... so, he didn't have to have any awkward conversations with his daughters about the powder.

BTW ... Kreischer also makes a crack about Kim Kardashian during his appearance on Kimmel's show -- saying he and Tom Segura probably did so well 'cause they followed her ... while also saying editing out the audience's reaction to her was a stupid move