Chief Executive C.Y. Leung said there was "no indication" that those reported missing had been taken to mainland China by Chinese security agents, an accusation raised by some opposition political leaders in Hong Kong.
Instead, Leung stressed that only Hong Kong law enforcement agencies had the legal authority to enforce laws here.
"Anyone who thinks they have information that may lead to a better understanding of the whereabouts and the reasons why they seem to be missing from Hong Kong would be welcome to provide such information to the Hong Kong government authorities," he said.
A British Foreign and Commonwealth Office spokesperson said that it was aware of the case, and that there was a possibility that one of the missing -- 65-year-old Lee Bo -- was a British passport holder.
And Sweden's foreign ministry said its embassies in Bangkok and Beijing were investigating reports that one of its nationals had been detained in Thailand or China.
In response to questions about the missing, Chinese foreign ministry spokeswoman Hua Chunying said that "any Hong Kong resident who is of Chinese descent and ... born in the Chinese territories" are citizens of China.
Hua added that whatever happens in Hong Kong "are purely China's internal affairs [in which] any foreign country has no right to interfere."
Lawmaker: 'Forced disappearance'
Albert Ho, a pro-democracy lawmaker, told CNN that he believed that Bo, a major shareholder in Causeway Bay Books, had been taken across the border to China against his will.
"It's a forced disappearance," said Ho. "All those who have disappeared are related to the Causeway Bay bookshop and this bookshop was famous, not only for the sale, but also for the publication and circulation of a series of sensitive books."
Ho added that the publishing house had been planning on publishing a book about the "love affairs" of China's President Xi Jinping during his time working "in the provinces."
Lee was reported missing to police Friday.
His wife contacted police on Monday requesting to cancel the case report. However, under Hong Kong law, only the subject of a missing person report can cancel it.
A duty officer from the Hong Kong Police Public Relations Bureau tells CNN police are still investigating and the case continues to be classified as a missing person case.
Referring to Lee possibly being a British passport holder, the UK's Foreign and Commonwealth Office spokesperson said Tuesday, "We can confirm that one of the individuals is a British Citizen, and we have urgently requested the Hong Kong and mainland authorities' assistance in ascertaining this individual's welfare and whereabouts."
"We encourage the Hong Kong SAR Government to honor its commitment to protecting the freedom of the press, and we hope the Chinese authorities will continue to make every effort to ensure that the environment in which the media and publishers operate in the Hong Kong SAR supports full and frank reporting."
Swedish national Gui Minhai, the owner of the publishing house, Mighty Current, that owns the bookstore, disappeared while on holiday in Thailand in October, the South China Morning Post reported
Missing persons reports were also filed for three other associates in November, according to Hong Kong police and local media.
More protests planned for Wednesday
Protests were held outside Beijing's liaison office in Hong Kong Sunday and Monday, with more on the way.
Scholarism, a pro-democracy student group in Hong Kong, noted it plans demonstrations midday Wednesday at the American consulate, British consulate and the Chinese liaison office in Hong Kong.
This group has been critical of Beijing in the past, including massive protests in 2014
Under the "one country, two systems" policy agreed as part of Britain's 1997 handover of its former colony to China, the 7 million residents of Hong Kong -- defined as a "Special Administrative Region" of China -- have greater civil liberties than those in the Mainland, though Beijing does sign off on its leaders.
But there have been growing concerns that some of these freedoms will go away as Beijing asserts more control.
With its protest Wednesday, Scholarism wants to pressure Britain to take responsibility of holding up the "one country, two systems" agreement and the United States to do its part.
Ho, the pro-democracy lawmaker, said that Hong Kong's government also "has a duty to assure (its) people ... are protected."
"Not only are mainland laws inapplicable in Hong Kong, no mainland officials, including law enforcement agencies, can take the law into their own hands in Hong Kong," said Ho.
An opinion piece published in the Global Times newspaper,
a state-run tabloid, said it was meaningless to engage in political speculation about their disappearance.
Publisher known for books on political scandals
Mighty Current is known for publishing books on political scandals that are popular buys for mainland Chinese tourists
visiting the city.
Ho said that Lee vanished Wednesday while delivering books to customers in Hong Kong.
His wife told CNN affiliate iCable that she later received a brief phone call from her husband from what appeared to be a Shenzhen number -- the southern Chinese city closest to Hong Kong.
A police source told the South China Morning Post that there was no record of Lee leaving the city. Ho said that Lee had told friends and family that he had no plans to visit mainland China given what had happened to his associates.
Alan Leong, a lawmaker and leader of the pro-democracy Civic Party, told CNN said that the disappearance of Lee and his colleagues had made Hong Kong residents anxious.
"Hong Kong citizens are entitled to feel safe walking in the streets of Hong Kong. Or to publish anything in Hong Kong."
"The speed with which the SAR government, or chief executive, have chosen to react to this incident that makes Hong Kong people anxious (and) leaves much to be desired."
Under mounting pressure to respond to the disappearance of so many critics of the Beijing government, Leung said that freedoms of press, publication and expression are legally protected in the former British colony.