Wellington jiu-jitsu athlete Jason Lee, who says he was kidnapped by police in Rio.

The Kiwi couple at the centre of an alleged police kidnapping in Brazil say they are safe.

Brazilian authorities are investigating after military police allegedly kidnapped a Kiwi athlete, then turned up at his address in Rio de Janeiro.

The policia militar (military police) allegedly kidnapped Jason Lee, a jiu-jitsu champion from Wellington.

He tweeted to say he and his partner Laura McQuillan were safe.

READ MORE: Kiwi sportsman Jason Lee 'kidnapped' in Brazil

McQuillan also tweeted thanks to supporters.

"We are ok & grateful for the support of NZ Embassy, Civil/Tourist Police & State Secretary for Security."

Lee said policia militar officers extracted 2000 Reais (NZ$850) from him after pulling him over and forcing him into an unmarked car over the weekend.

The officers made efforts to avoid being seen by security cameras, and warned Lee not to report the incident.

Lee reported the incident to the separate civil branch of the police, who promised they would keep his report confidential, claiming they too were afraid of the military police.

But on Tuesday morning (NZ time) members of the military police showed up at Lee's apartment building and asked for him by name.

Lee and McQuillan called the NZ ambassador and refused to let them in. The officers eventually left.

More police from civil branch later appeared at the apartment and were admitted.

Rio authorities claimed that the military police that showed up were from internal affairs and were investigating the complaint.

"The policia officers that went to [the address] are from the internal affairs (corregedoria) from the militar police," Rio's state Security Secretary Jose Mariano Beltrame said in a statement.

McQuillan said they were still waiting for an explanation of how the officers got their address.

"An officer actually used the door phone. He said he was from the military police and wanted to talk to Jason about his statement," she said.

The police arrived at their apartment building in Rio de Janeiro at about 3pm local time (6am NZT).

The office of Rio's state secretary for security, José Mariano Beltrame, has asked me tweet the following message: pic.twitter.com/6huFp5ChTp — Laura McQuillan (@mcquillanatorz) July 25, 2016

"We just don't know what's going on. I've basically deadbolted all our doors and told our flatmate not to come home," Lee said this morning.

"When we made the statement they said the military police would not have access to the statement.

"I was umming and ahhing about whether I should even make a complaint. One of the guys I was reporting it to said 'we understand you are hesitant, because we are the police, and that branch of the police is so scary even we are afraid of them'," Lee said yesterday.

While Lee is not an Olympic athlete, the incident comes amidst renewed fears for the safety of athletes at the Rio Summer Olympics.

In the year he has lived in Brazil, Lee said things have appeared to get worse, not better.