Police raided the office of Jimmy Lai on Thursday, with the media tycoon telling reporters that officers "took away everything".
Speaking to the press before a court appearance, Lai said he had no idea what the police were looking for, and he accused officers of not acting according to the law.
Asked about the police action, Lai replied: "I have no comments. I don't know what their intention is. They wanted to collect, they wanted to get something to go against me. I don't know what it is."
The tycoon said the police did not wait for his lawyers to arrive.
"The police didn't wait for even lawyers before they took everything away," he said.
Earlier Lai’s aide Mark Simon had tweeted that 14 police officers visited Lai's office and confiscated some documents.
The raid came ahead of Lai’s court appearance on Thursday afternoon in relation to a banned June 4 vigil at Victoria Park.
Other pro-democracy activists, include Lee Cheuk-yan and Joshua Wong, are facing charges for allegedly participating in an unauthorised gathering to mark the anniversary of the bloody Tiananmen crackdown in 1989.
Police also arrested Lai in August under Hong Kong's new national security law and raided the headquarters of Next Digital. Lai was not charged and was released on bail. (Additional reporting by AP)