Hu Jiamin and Marine Brossard painted a mural showing an empty blue chair at an art exhibition in Shenzhen last week.
The mural was quickly covered up and plainclothes policeman took the couple away, Hong Kong media report.
Journalists and friends say they have since been unable to contact the duo.
Mr Liu, who died in July, was China’s most prominent human rights and democracy advocate.
He was awarded the Nobel Peace Prize in 2010 while serving an 11-year prison term for “subversion”, and was represented by an empty chair at the award ceremony.
On 15 December, Mr Hu and Ms Brossard, his wife, attended the Shenzhen-Hong Kong Biennale of Urbanism Architecture and painted the mural.
Mr Hu told the South China Morning Post at the time: “I’m not a radical person, nor am I an activist … I painted the chair to express my personal commemoration and grief towards Mr Liu, but it’s not a manifesto to the public.”
He felt safe, he added, because he lived in France. “But even if I lived in China,” he added, “I would not worry too much because I think a lot of fear comes from people’s imagination.”
However, by night time, the mural had been covered up with a large banner.
The couple were approached by plainclothes officers who separated them and dragged them away, Mingpao newspaper reports.
Mr Hu shouted “what are you doing?” and said he was a French citizen, while a plainclothes officer told him “this is China, you know that – it’s not the same”, a Mingpao journalist at the scene reported (in Chinese).
Two friends told AFP news agency they had not been able to reach the couple since.
AFP journalists have also attempted to call Mr Hu several times over the past week but found his phone was switched off.
China’s authorities said they had no information about the couple while the French embassy declined to comment. (Courtesy BBC)