In his first public appearance in more than three months, the relaxed, tanned shah of Iran said today that he was not afraid to be assassinated but that he was saddened by the present chaos and bloodshed in Iran.

Accompanied by his wife, Farah, with whom he arrived in Mexico from the Bahamas on Sunday, the exiled monarch met with reporters for 15 minutes today. It was a clear public relations gesture aimed at the Mexican press and, according to an aide, a desire to get rid of the dozens of reporters and photographers stalking the neighborhood where he is expected to stay for the next few months.

At first announced as a "photo session only" the shah and his wife stood at the far end of a swimming pool of a private villa and the press was placed at the other end. Then as reporters began to shout their queries across the water, the 59-year-old deposed monarch reluctantly replied to some but avoided other questions.

Asked to comment on events in Iran since his departure, the shah said, "You know I tried to avoid bloodshed when I left, but now we have a bloodbath." To a question about how long he believed the Aytollah Ruhollah Khomeini can remain in power, the shah replied derisively: "It depends what you mean by power. You think we have a government now? We don't have a government."

The shah's appearance today ended wild speculation about his whereabouts in Mexico, where he arrived with his wife, son, two dogs and a resident permit valid for six months.

The entourage has rented all six villas on a dead end street in a residential suburb of Cuernavaca, a town 60 miles south of the Mexico capital. Because of its mild climate, it is a favorite weekend resort for wealthy politicians, businessmen and American retirees.

The shah's landlady, Mrs. Rolande Riveroll, widow of the Mexican architect who built the compound, was not on hand but lent her home for today's meeting with the press. The shah's nearby mansion, a vast French-style house with sweeping gardens going down to a river, remained sealed off. Security men today kept close watch over passersby, jotting down license plates, asking for ID cards and operating walkie-talkies.

When asked whether he was afraid of being assassinated, both Farah and the shah smiled. He replied, "I'm never afraid of anything, I believe in providence. I am very religious man." Then explaining the tight security, he added "But it would be silly to be the object of easy attempts by gangsters. CAPTION: Picture, The shah's new home is part of a six-villa complex, AP