Lai said he was determined to stay in Hong Kong even once the security law came in.
Police made their first wave of arrests under the law the day after its implementation, seizing protesters who attended a demonstration despite a police ban on doing so.
Lai, who was arrested at his mansion in Kowloon in the morning, was also brought to the headquarters of Next Digital, where he remained for about two and a half hours before police took him away in a auto.
Media groups warn local outlets in Hong Kong are particularly vulnerable to the new security law. What police were looking for in the building wasn't clear.
More than 100 Hong Kong police officers raided the company's offices and journalists' desks on Monday, the Hong Kong Free Press and The New York Times reported, with Cheung Kim-hung, Next Digital's CEO, photographed being led out in handcuffs.
Police said they had a court warrant. "So I don't think they should search the media".
Next Digital stock skyrocketed by 260pc after dismayed activists used the LIHKG forum to call on investors to support the company. According to a BBC profile, at age 12, Lai fled his village in mainland China, and reached Hong Kong as a stowaway on a fishing boat.
"China should not treat Hong Kong this way".
Various sectors in Hong Kong condemn so-called U.S. sanctions
The move freezes any of their assets in the United States and puts severe restrictions on U.S. people doing business with them. Xia Baolong, director of the Hong Kong and Macao affairs office; and deputy director Zhang Xiaoming.
Asked why he risked both his wealth and freedom by criticising Beijing and publicly supporting Hong Kong's democracy movement, he replied: "I'm a troublemaker".
Suspected offences included "collusion with a foreign country/external elements to endanger national security, conspiracy to defraud" and others, the police said. The only thing I can do is to be positive, " he told news agency Agence France-Presse (AFP).
In February and April, Mr Lai was arrested for allegedly participating in unauthorised protests previous year.
Beijing's deadly 1989 crackdown on pro-democracy students in Tiananmen Square turned him political and he became one of the few tycoons in Hong Kong willing to criticize China.
Allegations of Lai colluding with foreigners went into overdrive in state media a year ago when he met with US Secretary of State Mike Pompeo and Vice President Mike Pence.
Wong said he would use the proceeds to fund a scholarship at the Chinese University of Hong Kong.
The legislation outlaws secessionist, subversive and terrorist acts, as well as collusion with foreign forces in the city's internal affairs.
The maximum penalty for each crime under the law is life in prison. "People are very, very anxious when they will be next on the list to be arrested". Critics of the bill say it will suppress freedoms of Hong Kong residents. Law had relocated to Britain in July to continue global advocacy work for Hong Kong.
Lai's two main titles - the Apple Daily and the digital-only Next magazine - openly back democracy protests in a city where competitors either support Beijing or tread a far more cautious line.