Hundreds of supporters gathered about 150 metres from the prime minister's home demanding his release, infuriating the deputy army chief, Antonio Ndjai, who spoke to state television following the arrests.
"If the people continue to go out into the streets to show their support for Carlos Gomes Junior, then I will kill Carlos Gomes Junior ... or I will send someone to kill him," he said.
Navy chief 'released'
The arrests took place minutes after a group of soldiers went to the nearby United Nations office and walked out with Bubo Na Tchuto, a former navy chief, who had been taking refuge there after being suspected of leading a failed 2008 coup.
"Bubo Na Tchuto has voluntarily left the UN compound," a diplomat, who declined to be named, said on Thursday.
Na Tchuto took refuge in the UN offices in the capital in December after returning from exile in nearby Gambia in a canoe, disguised as a fisherman.
The UN and Guinea-Bissau agreed in early January Na Tchuto would be handed over to Gomes Junior's government, but Na Tchuto remained on the UN premises in Bissau.
His return prompted a tightening of security, including increased road checks, in a fragile state seen as a hub of the narcotics trade into Europe.
Malam Bacai Sanha, the president, did not appear to be affected by Thursday's incidents.
The capital, Bissau, was calm but a Reuters witness said some banks and shops had shut.