HONG KONG — In a newspaper ad, the Hong Kong billionaire declared that he was just fine, merely resting overseas. The local news media insists that he is helping with an important investigation in China. The police say he left the territory through a normal border control point.

But Xiao Jianhua, one of China’s wealthiest and most politically connected financiers, whose disappearance last month sent a chill through Hong Kong and the political class in Beijing, does not appear to be fine.

In the early hours of Jan. 27, he was taken out of the Four Seasons Hotel in Hong Kong in a wheelchair, his head covered by a sheet or a blanket, according to people who have seen or been briefed on video footage captured by security cameras in the hotel.

Mr. Xiao, 45, who was not known to use a wheelchair, was accompanied by about half a dozen unidentified men who were also pushing a large suitcase on rollers. He is believed to have been transported by boat from Hong Kong, eluding border controls, and is now in police custody in mainland China, according to two people familiar with the investigation into his whereabouts.