The film, which also stars Reese Witherspoon and Meryl Streep, focuses on the practice of extraordinary renditions, or transferring terrorism suspects to other countries where their interrogators could abuse or torture them.
The U.S. government has said it only uses renditions after it is assured that transferred prisoners will not be subjected to torture.
The movie tells the story of an Egyptian-born man suspected of involvement in a Middle East bombing who is abducted by U.S. authorities and sent overseas for questioning at a secret facility.
"It says that torture is wrong. I think you can see in the film that it does not work," Gyllenhaal told a news conference after the movie was screened at the Rome Film Festival.
Gyllenhaal plays a CIA analyst who comes to question the U.S. government's sanctioning of the practice.
Director Gavin Hood, whose South African drama "Tsotsi" won the 2005 foreign-language Oscar, said he hoped the film would spark debate about the practice of extraordinary renditions.
"It is easy to talk about arbitrary detention and enhanced interrogation techniques and all these fancy words in the abstract," Hood said. "(Then) we realize that in fact it is about people, not just the people to who it happens, but the people who are involved in having to do this."