EXCLUSIVE

Dan Bilzerian was trying to make a bomb TMZ has learned ... which is why he was arrested when he landed at LAX late Tuesday.

We've learned an arrest warrant was issued in Clark County, Nevada. Bilerzian has been charged with violating a law making it a crime to possess an explosive or incendiary device with the intent to manufacture it.

According to the criminal complaint -- obtained by TMZ -- Bilzerian had ammonium and aluminum powder, along with ammonium nitrate mix -- and when mixed it acts like pure TNT.

The warrant was issued last month but it was confidential ... under seal, presumably because cops were continuing to investigate and they didn't want their cover blown if the warrant became public.

Bilzerian is being held without bail.

Bilzerian is a fan of weapons ... he got washed out of the Navy SEAL program in 1999, 2 days before graduation.

If convicted of the felony charges he faces between 1 and 6 years in prison.

Story developing ...