Prosecutors are investigating Luna's alleged links to Hernan Giraldo, a paramilitary leader, said to be one of the largest drug-traffickers in Colombia.
Giraldo is alleged to have ordered men under his command to intimidate voters into electing Luna.
Luna was the only candidate who ran for the governorship of Magdalena in 2003; other hopefuls later claimed they had been pressured not to run and threatened by paramilitary commanders.
Killings and cocaine
Colombia's paramilitaries are thought to be responsible for massacres and much of Colombia's cocaine export.
Rights groups accuse the paramilitaries of colluding with local politicians and military commanders, saying they have boasted about their influence in Colombia's congress.
Eight politicians, all supporters of Alvaro Uribe, the country's president, are currently in jail awaiting trial as part of a recent probe into politicians' alleged links with paramilitaries.
Luna is the first sitting governor to be arrested as part of a scandal that has shaken Uribe's government and threatens to expose the opposition's own ties to illegal armed groups operating in Colombia.
Jorge Luis Caballero, the only other opposition politician indicted to date and a member of a Liberal Party splinter faction from Magdalena, is believed to have fled to Spain.
Luna's arrest comes less than a day after George Bush, the US president, visited Colombia as part of his South American tour.
Billions of dollars in US aid has helped Uribe to crack down on armed groups, disarming 31,000 people and offering shorter jail terms to paramilitary leaders who confess and aid investigations.
Recent testimonies from some of those informants have implicated Luna; his name reportedly appeared in the files of a laptop computer belonging to the assistant of one former commander.
Uribe says the investigations are the result of his security policies and show how Colombia's judicial institutions are working as they never did before.
But US Democrats concerned about human rights want more guarantees as they debate a White House request for more aid and a trade deal for Colombia.
Meanwhile, on Monday, Horst Kohler, the German president, arrived in Colombia on a four-day visit to discuss trade issues and EU co-operation in the fight against drug trafficking.