Five reporters, including two journalists from Hong Kong's government-run radio station RTHK, also said they were briefly detained Sunday as they tried to interview people tear-gassed by military police.
Hong Kong's Secretary for Security Ambrose Lee voiced concern over the treatment of the journalists on behalf of the city's government on a visit to Beijing Sunday.
Ongoing tension between Xinjiang's ethnic Uighur and Han Chinese residents reached a climax in July when bloody clashes broke out on the streets of Urumqi, leaving at least 197 people dead, and more than 1,000 injured.
Fresh demonstrations broke out last week, leaving five people dead in Urumqi.
The former British colony Hong Kong reverted to Chinese rule in 1997 but has a mini-constitution guaranteeing it freedom of the press along with judicial and political autonomy.