Abdirashid Shire Hussein, a Somali, was arrested by Kenyan police at a hotel in Nairobi and turned over to immigration authorities.
Hussein is a member of the so-called Alliance for the Restoration of Peace and Counter-Terrorism (ARPCT), a US-backed group that was created in February to curb the growing influence of Islamists.
The businessman has been identified in UN reports as having bought weapons and ammunition for the regional commanders' alliance.
A Kenyan police official, speaking to AFP, said: "Our intelligence informed us that Hussein was involved in the war in Mogadishu and we are implementing the order to deport him."
Hussein, an import-export trader and hotelier, said he was released after telling immigration officials that he would be leaving Kenya on a flight to the United Arab Emirates.
Hussein, who says he is as a banana and fish exporter with shipping and communications interests, owns the Sahafi Hotel in Mogadishu, which had served as a base for the ARPCT fighting Islamist forces.
Kenya has banned all Somali regional commanders from its territory, many of whom own property or have assets and investments there.
Kenya "will not permit its territory to be used by those who persist in destabilising Somalia", a government statement said.
Kenya supports the transitional government in Somalia, which has blamed the alliance and the United States for the fighting.