Online video shows Sheikh Abdullah bin Ali Al Thani seated in an armchair warning that he is "afraid something could happen to me that will be blamed on Qatar".
A member of Qatar's royal family says he is being detained in the UAE, media reported Sunday, eight months into a crisis between Gulf states.
Sheikh Abdullah bin Ali Al Thani, a little-known royal, emerged as an unlikely mediator in August, weeks after Riyadh and Abu Dhabi cut ties with Doha.
A video circulating online, also broadcast by Qatar-based Al Jazeera television, shows the sheikh seated in an armchair warning that he was "afraid something could happen to me that will be blamed on Qatar."
"I am now in Abu Dhabi, where I was a guest of (UAE crown prince) Sheikh Mohammed" bin Zayed al Nahyan, he said.
"That is no longer the case. I am now detained," Sheikh Abdullah said.
"I want to make clear that the people of Qatar are innocent," the sheikh said. "Sheikh Mohammed bears full responsibility for anything that happens to me."
The video could not be immediately authenticated, while Emirati officials were not immediately available for comment.
Saudi Arabia, the UAE, Egypt and Bahrain severed diplomatic and trade ties with Qatar in June over allegations Doha supported terrorists and had close ties to regional rival Iran.
Doha denies the accusations.
In August, Sheikh Abdullah met Saudi Crown Prince Mohammed bin Salman to mediate on reopening a land border to allow Qatari pilgrims to perform the annual Muslim pilgrimage to the Saudi city of Makkah.
It was the first public high-level encounter between the two nations since the diplomatic crisis erupted.
Doha was quick to point out that he was in Saudi Arabia on a personal mission and did not represent the government.
Sheikh Abdullah belongs to a branch of the Al Thani royal family that has seen its influence eroded but is still well-connected in the Gulf.