China dissident Chen Guangcheng 'in US embassy
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.