A normally sleepy city, Dar es Salaam is not known for high intrigue, and there has certainly never been a case of white men kidnapping prominent individuals reported before.
Dewji was born in Tanzania and studied at Georgetown University in Washington DC.
Dewji, 43, was elected to parliament on the CCM ticket but did not seek re-election for his seat in the 2015 election.More news: Saudi Arabia faces serious consequences if Khashoggi claims true: UK
The police chief said three people have been arrested and are being questioned.
Dar es Salaam police chief Lazaro Mambosasa told a press conference that the assailants had "shot into the air" before bustling Dewji into their auto.
In a 2017 report, it said Mr Dewji was Africa's youngest billionaire.More news: 'The Fed has gone crazy': Trump points finger for Wall Street tumble
According to eyewitnesses, unknown men arrived in two vehicles and parked at the hotel before Mr Dewji got there.
He is also a shareholder in the famous Simba Club in Dar es Salaam.
He drove himself to them gym, located in the affluent town of Oyster Bay, and had no security guards with him at the time, Dar es Salaam regional police commissioner Paul Makonda said.
Dewji heads up the METL Group, which was established in the 1970s by his father and calls itself Tanzania's "largest home-grown company", according to its website. In 2016 he pledged to give half of his fortune to philanthropic causes.More news: DUP's Foster says May 'cannot in good conscience' recommend Brexit backstop