Marine Brossard and Hu Jiamin painted a mural at the entrance of a public exhibition in Shenzhen on December 15, but city authorities covered the wall with a banner the same evening, witnesses told AFP. Tributes to Liu are censored in China.
Brossard is a French national, but Hu's nationality is unclear, a friend who has known them for over five years said.
AFP tried to call Hu several times this week, but an automated message said his phone was switched off.
The couple had travelled from their home in the French city of Lyon to participate in the Shenzhen-Hong Kong Biennale of Urbanism Architecture, witnesses who spoke with the couple in Shenzhen told AFP.
“We have been trying to reach them but we haven't been able to confirm anything,” said the friend of the couple, who asked for anonymity due to safety concerns.
Their painting depicted an empty blue chair inside a room with red bars, an apparent reference to Liu, who was in prison when he was awarded the Nobel Peace Prize in 2010.
An empty chair stood symbolically in his place at the ceremony, which infuriated the Communist regime.
Liu died from liver cancer in July, making China the first country since Nazi Germany to allow a Nobel Peace Prize laureate to die in state custody.
Chinese poet Ye Du, who went to Shenzhen to see the exhibition, said he spoke briefly with Hu after seeing the tribute.
“I was shocked to see it. I never imagined that I would see a public commemoration of Liu in China,” Ye told AFP.
Hong Kong newspaper Ming Pao reported that its reporter had seen the couple shouting while being taken away from their covered-up mural by plainclothes men after 7 pm (1100 GMT) on December 15.
The Shenzhen public security bureau said it did not have information on the couple.
The French embassy in Beijing declined to make a statement.