Read MoreUK can thrive on free trade once it quits EU: UKIP
UKIP scored a shock success in the EU's parliamentary elections last weekend, beating the U.K.'s three mainstream parties—the Conservatives, Labour and the Liberal Democrats— to win 27.5 percent of the U.K. vote.
It campaigned on an anti-immigration ticket, highlighting the increase in people migrating to the U.K. from other parts of Europe. This has helped feed accusations of racism, including from the three establishment parties.
On Thursday, Farage told CNBC that "known criminal gangs" from Romania headed to the U.K., where officials were forced to allow them entry because of EU rules governing freedom of movement for people, goods and services.
"Some of these post-communist countries have not made the transition to full western democracy. They have their own minorities, which are discriminated against in a way that is truly shocking when you see it, and organized criminal gangs have got countries like Romania in their grip," Farage said.
"We, as members of the EU, cannot stop known criminal gangs at the border."