Trinh Xuan Thanh is believed to have been taken in Germany on 23 July, a day before he was due to appear at a hearing about the asylum request to stay in Berlin.
The former executive at state oil company PetroVietnam had faced charges of financial mismanagement in Vietnam and an international manhunt was launched when he left the country 10 months ago.
Police in Vietnam say Mr Thanh turned himself in on Monday, but have given no explanation as to why he allegedly decided to return home and hand himself in.
Authorities in Germany say he has been kidnapped and have ordered a Vietnamese spy to leave the country in response to the alleged abduction.
Germany’s foreign ministry said it would look at further action against Vietnam after what it described as an “unprecedented… breach of German and international law”.
Vietnam’s foreign ministry said on Thursday it feels “great pity” over the German accusations.
The ministry repeated its claim that Mr Thanh turned himself in, saying that Vietnam respects and wants to develop a “strategic relationship” with Germany.
Mr Thanh, 51, was a former high flyer at PetroVietnam Construction JSC, part of the state energy company PetroVietnam.
He was the subject of an outcry in mid-2016 when he was found to have a luxury Lexus car with a government licence plate, in a country where officials are expected to live modestly.
The head of the Communist Party, Nguyen Phu Trong, ordered an investigation into his promotions at the company despite losses of $150m at PetroVietnam.
Mr Thanh went on sick leave last year and travelled abroad, with his whereabouts remaining unknown until he turned up in Germany.
After Germany’s kidnap accusation, some residents in Hanoi said they were unable to access social network sites, including Facebook, Instagram and Twitter.
Nguyen Quang A, a retired computer scientist and vocal government critic, described the alleged kidnapping on his Facebook page as “stupid” and said it would cause severe diplomatic consequences.
He said on Thursday that someone had tried unsuccessfully to hack his Facebook account 16 times overnight.
Vietnam has stepped up measures in recent months to silence bloggers and critics.