Chen Guangcheng and Hu Jia appear together in a photo released by Mr Hu’s wife Zeng Jinyan
Mr Hu said Mr Chen – who is blind – had scaled a high wall and was driven hundreds of kilometres to Beijing.
Mr Chen escaped on Sunday, activists say, and has since released a video addressed to Prime Minister Wen Jiabao.
There are reports that his brother and nephew have now been held by police.
The rights group Human Rights in China quoted a source who knew about Mr Chen, and said his nephew Chen Kegui was taken away from his home by more than 30 police officers.
The UN human rights chief Navi Pillay said she was concerned for the wellbeing of Mr Chen and his family, who live in Dongshigu town, Shandong province.
“I’m disturbed to hear reports that other family members, including his brother Chen Guangfu and nephew Chen Kegui, have now been detained,” she said in a statement.
The US state department has refused to comment on the claim that Mr Chen is in its embassy. The US embassy in Beijing has also not commented.
Blogger Yaxue Cao says he spoke to Chen Kegui on Friday at about 01:30 local time (Thursday 17:30 GMT), and he has transcribed the interview on his blog Seeing Red in China.
The transcript suggests that at the time of the interview Chen Guangfu had already been detained.
Chen Kegui was awaiting police arrest, having initially resisted an attempt to detain him by unidentified men less than two hours before by slashing at them with kitchen knives. . . . .
A self-schooled legal activist, Mr Chen is known for revealing rights abuses under China’s one-child policy and has accused officials in Shandong province of forcing 7,000 women into abortions or sterilisations.
The plight of Mr Chen has become famous around the world. US Secretary of State Hillary Clinton has repeatedly called for his release and is due to visit Beijing next week.
He Peirong, another China-based activist who had also campaigned for Chen Guangcheng, has also been detained at her home in Nanjing according to other activists.
The Chen affair comes at an unwelcome time for China’s leaders, who have been embroiled in a lurid political scandal involving disgraced former party boss Bo Xilai. . . . .
See video of Chen Guancheng: