He has been held for seven hours by immigration officers at the city's airport, his lawyer Sanjay Mirabeau said.
It is not immediately clear why he had been stopped or on what grounds he could be deported.
Hong Kong's immigration department said it would not comment on individual cases.
However, in a statement in response to enquiries about the case, it said that it was "committed to upholding effective immigration control by denying the entry of undesirables".
Dieudonne's company Plume Productions said he was being held with his children at the airport.
"He will likely be deported in the coming hours," it said in a statement.
Mirabeau said there was no reason for the comedian to be detained.
"His new show, 'In Peace', does not contain anything contrary to law. He speaks of plants, ecology," he said.
The French consulate in Hong Kong confirmed that Dieudonne had been held by immigration officers at the city's airport on his arrival.
"It's a question of implementing immigration laws relevant to the Hong Kong authorities," a consulate spokesman told AFP.
Last year, the European Court of Human Rights rejected claims by Dieudonne that his right to speak freely was denied when he was convicted and fined in France for insulting Jews.
The court said Dieudonne, who has been repeatedly accused of hate speech and anti-Semitism, could not claim the protection of free speech guarantees in the European Convention on Human Rights.
Siding with the French court that convicted him in 2009, the European rights tribunal said it would not hear his appeal of the conviction because the show that led to it was "unmistakably negationist and anti-Semitic in nature."