Video report by ITV News Asia Correspondent Debi Edward
A British Consulate worker told his girlfriend "pray for me" moments before trying to travel out of China where it is believed he is being detained.
However, when he failed to return to work the next day, his family, including his girlfriend Li, informed the police.
Li, who met Mr Cheng when they were both studying in the UK, told news outlet HK01 he had contacted her on WeChat and WhatsApp shortly before the border crossing.
He said: "Ready to pass through the border," before adding: "Pray for me."
Mr Cheng then said in a message on WeChat, which is believed to be monitored by the Chinese government: "Passing through, pray for me."
Hong Kong immigration authorities confirmed that the consulate worker is under administrative detention, meaning the Chinese can hold him for up to 15 days without charge.
Hong Kong police said they were aware of a missing person case, but could not disclose "too much detail" due to "the sake of personal data".
It has also been reported by HK01 that he told colleagues during the business trip to delete WeChat before they crossed the border back into Hong Kong.
A Foreign and Commonwealth Office said: "We are concerned by reports that a member of our team has been detained while returning to Hong Kong from Shenzhen.
"We are providing support to their family and seeking further information from authorities in Guangdong province and Hong Kong."
Mr Cheng is a Hong Kong permanent resident who had studied in Taiwan and the UK and it is not clear whether he held a diplomatic passport or what documents he used to enter China, the HKFP reported.
The Scottish Government said it was concerned for Mr Cheng's welfare and was liaising with the Foreign Office.
A spokesperson added: "We are aware of this incident and we are concerned for Mr Cheng's welfare.
"We are liaising with the FCO, who are in contact with Mr Cheng's family, the authorities in Guangzhou and Hong Kong, and are seeking further information."
Hong Kong's chief executive Carrie Lam said on Tuesday she is setting up a “communication platform” to resolve differences in the city after months of anti-government protests.
Ms Lam also said the city’s police watchdog will carry out a fact-finding study of the protests and related incidents as it looks into 174 complaints about police behaviour.
The movement held a massive but peaceful rally on Sunday after earlier protests had been marked by violence.
The government has conditioned dialogue on the leaderless protest movement remaining peaceful.
Ms Lam did not say that the communication platform will be used specifically to contact protesters.