The former England captain said he plays with the children's toy because it "helps to calm me down".
He said: "When the kids finish school, they might have different activities going on, like football or rugby.
"But when they get home we'll often play one of their favourite games, like Connect 4.
"They also love Lego. So do I. The last big thing I made was Tower Bridge. It was amazing."
He added: "I think Lego sometimes helps to calm me down."
The 38-year-old said playing with Lego is similar to cooking, which he finds "very therapeutic".
Lego's Tower Bridge has 4,287 pieces, costs £210 and is recommended for people aged over 16.
Top Gear presenter Richard Hammond said building Lego models aided his recovery from a 300mph jet car crash that nearly killed him in 2006.
''Lego saved my life. It's really good therapy for a brain injury,'' he told the Daily Mirror.
Beckham moved with his wife Victoria and four children into a luxury west London home last year and said he enjoys spending time in the capital's parks and pubs.
"I love living back in London," he said.
"I enjoy its big parks, especially ones like Battersea. I love walking through them after I've been playing five-a-side with some friends."
He added: "One thing I really love about being back here is the pubs - I even have a couple of locals that I actually go to. The people there know me, so it's easy enough to go in and have a pint."