Khan plays a corrupt policeman who takes his new wife on honeymoon to Dubai.
Permission was granted to the Khan brothers by Dubai's Roads and Transport Authority (RTA) last week.
"They said Dubai was their second home and the metro is close to their heart. We felt it was a great opportunity to showcase Dubai Metro to a global audience," Peyman Younes Parham, the RTA's director of marketing and communication, told 7Days.
Arbaaz posted on Twitter: "We shot inside the Dubai Metro. First time ever a film shoot allowed here. We got blanket permission to shoot anywhere. Quite a novelty :)"
The brothers also filmed scenes at Abu Dhabi's Emirates Palace and on location in the desert.