How do you play as him? I beat all four difficulties just to play as him but how do I play as him?

You can play as Commander Kahn? That is news to me! That being said, I've only just bought this game and am currently not a very high ranking. I did, however, buy the game used and found that my newly purchased copy of Elite Beat Agents was already at the highest ranking. Unfortunately, I never tried to play as the commander during that time (before I erased all of the data).

To answer your question, a quick search on Google turns up that all you have to do to play as him is to unlock the highest difficulty level. Here is some additional information if you are still confused.

quote Elite Beat Agents (DS) FAQ by kousukey on GameFAQs

If you complete this hardest mode, it will open Commander Kahn as the elder of Elite Beat Divas when you play Hard ROCK! mode again. Select icon go with the picture of Kahn's face in Select a Difficulty Screen to do this. Kahn will only appear in touch screen when you play. Although all Gallery and cutscenes doesnt changed.