A missing Hong Kong employee of a publisher of books critical of China is "assisting in an investigation", his wife says, as police also probe the disappearance of his four colleagues.

The disappearance of Lee Bo, 65, adds to growing unease that freedoms in Hong Kong, a semi-autonomous Chinese city, are being eroded, with fears the five men may have been detained by Chinese authorities.

"He said he wouldn't be back so soon and he was assisting in an investigation," Sophie Choi, wife of Lee, told Hong Kong's Cable Television on Saturday.

She described a call she had with Lee the night he failed to return home.

It was not clear what investigation Lee was referring to.

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"I asked him if it was related to the case before. He said 'yes', regarding that case where a few others had gone missing," Choi said.

Lee went missing on Wednesday night and is the fifth employee of Hong Kong-based publisher Mighty Current to disappear.

Police said in a statement they were investigating the disappearance of Lee and three of the other missing men. It made no comment on the fifth man.

According to the South China Morning Post, a Hong Kong daily, the bookstore where Lee worked is popular among Chinese mainland tourists as it sells politics books banned by Beijing.

Hong Kong was handed back to China by Britain in 1997 and enjoys liberties not seen on the mainland, but there are fears these are under threat.

'Everything alright'

Choi previously told AFP news agency she started looking for Lee on Wednesday night after he failed to return home for dinner and she reported him missing to police on Friday.

He later called to say "everything was alright" from a number that did not belong to him and originated from the neighbouring mainland Chinese city of Shenzhen, Choi had said.

Another source told AFP that Lee was last seen in Hong Kong on Wednesday at the publisher's warehouse, which he is in charge of.

The publishing company's general manager Lui Bo, employee Cheung Jiping and bookstore manager Lam Wing-kei are also apparently missing after disappearing in southern China in October.

Local media said Gui Minhai, a Swedish national and co-owner of Mighty Current, failed to return from a holiday in Thailand in October.

Hong Kong police, who are investigating the disappearance of Lui, Cheung, Lam and Lee, gave no information on Gui.

Sweden's embassies in Bangkok and Beijing are reportedly investigating Gui's disappearance.

The Hong Kong Journalists Association sent a letter to the Chinese Liaison Office - Beijing's representative office in the city - urging authorities to reveal whether the men are in the mainland.

"The incident has caused a high degree of concern and anxiety to Hong Kong residents," the statement said.

Hong Kong publisher Yao Wentian, who was due to release a dissident's book about Chinese President Xi Jinping, was reported to have been detained for almost three months in January 2014.

The following May, Yao, then 73, was sentenced by a Chinese court to 10 years in jail for smuggling.