Lazaro Mambosasa, the Dar es Salaam police chief, told a press conference the kidnappers had "shot into the air" before bundling Dewji into a auto.
Environment Minister January Makamba, a friend of Mr Dewji, tweeted that he had spoken to Mr Dewji's father and the family confirmed that he had been kidnapped.
The armed men were foreigners, the Swahili Times reported on Twitter, citing Police Commander Lazaro Mambosasa.
The motive for the kidnapping is still unknown, although police expect this to be a "ransom" kidnapping. "This kind of incident is new here".
Dewji is the owner and president of the multi-billion dollar revenue Mohammed Enterprises Tanzania Ltd (METL Group) and a former member of parliament for the ruling CCM party.
Mr Dewji was born in Tanzania and studied at Georgetown University in the United States.
"Three people have already been arrested but we can't divulge their identity for the moment", he said.
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"They (the four were masked individuals) fired one bullet in the air and all the hotel security guards ran away", he said.
Dewji was elected to parliament on the CCM ticket but did not seek re-election to his seat in the 2015 election.
In 2013, he became the first Tanzanian to grace the cover of Forbes magazine and was named Forbes Africa Person of the Year in 2015.
Dar es Salaam regional commissioner Paul Makonda cautioned the public against speculation.
Dewji, 43, has a net worth of $1.5 billion and is Tanzania's only billionaire, according to Forbes.
He is also the main shareholder in Tanzania's Simba FC football club.