Chinese Foreign Ministry spokesman Geng Shuang offered no details about why Simon Cheng Man-kit had been detained.
The Foreign Office had expressed concern about Mr Cheng, who attended a business event in the border city Shenzhen on August 8 but never returned to neighbouring Hong Kong despite plans to do so the same day.
When Mr Cheng failed to return to work, his family, including his girlfriend Li, informed the police.
She shared screenshots of messages from Mr Cheng on WeChat, which is believed to be monitored by the Chinese government, as well as a conversation on WhatsApp.
"Ready to pass through the border," one WhatsApp message read. Mr Cheng added: "Pray for me."
Mr Cheng then added in a message on WeChat: "Passing through, pray for me."
It has also been reported by HK01 that he told colleagues during the business trip to delete WeChat before they crossed the border back into Hong Kong.
Mr Cheng's disappearance comes after weeks of pro-democracy protests sparked by a now-suspended bill that would have allowed extraditions from Hong Kong into China.
It is unclear whether he possessed a diplomatic passport and Mr Geng said he was a Hong Kong resident.
Tensions remain high as mass demonstrations continue with protesters criticising both the Hong Kong and Chinese governments.