The eight-metre tall "Pillar of Shame" by Danish artist Jens Galschiot was dismantled and taken away on Wednesday night, local media reported.
The university justified the removal by citing "legal risks" and said concerns were raised about security threats posed by the "fragile statue," in a statement reported by Hong Kong broadcaster RTHK.
Its removal prompted fierce criticism from members of Hong Kong's pro-democracy movement and from the artist.
"We have done everything we can to tell the University of Hong Kong that we would very much like to pick up the sculpture and bring it to Denmark," Galschiot told dpa.
He said he considers the artwork to be his property and that it was only on loan to the Hong Kong Alliance in Support of Patriotic Democratic Movements of China.
The group disbanded under pressure from the controversial Hong Kong national security law which the Chinese government pushed through a year and a half ago.
The law's vague wording makes it easier to crack down on activities China considers subversive, separatist, terrorist or conspiratorial and effectively targets critics of the Hong Kong government and China's leadership.
It has also been internationally criticised as a violation of agreements to ensure special freedoms for Hong Kong when the territory was handed back to Beijing from Britain in 1997.
Beijing has long been opposed to the presence of the statue on university grounds as it seeks to erase any public memory of the 1989 military campaign against the Tiananmen movement.
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