"I was released a few days ago and we are in my hometown now," the Twitter account of painter Hu Jiamin read days after Hong Kong newspaper Ming Pao reported that the couple had been taken away by plainclothes men.
Hu noted in another post that he will return to France on December 30.
The artist and his French wife, Marine Brossard, had painted a mural honouring China's late dissident Liu Xiaobo at the entrance of a public exhibition in Shenzhen on December 15.
But city authorities covered the wall with a banner the same evening, witnesses told AFP.
Their painting depicted an empty blue chair inside a room with red bars, an apparent reference to Liu.
The veteran Chinese rights activist was in prison when he won the Nobel Peace Prize in 2010 and was represented at the award ceremony by an empty blue chair.
He died of liver cancer in July while serving a prison sentence for "subversion" making China the first country to see a Nobel laureate die in custody since Nazi Germany.
References to Liu are heavily censored in China.
Brossard is a French national, but Hu's nationality is unclear, a friend who has known them for over five years said.
The couple had travelled from their home in the French city of Lyon to participate in the Shenzhen-Hong Kong Biennale of Urbanism Architecture, witnesses who spoke with the couple in Shenzhen told AFP.
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