Dua took to Instagram after the event, saying she is "horrified by what happened" during her show on Wednesday night.
Fans of hers were completely outraged on social media, sharing videos of security workers forcibly removing people from her show, for waving pro-gay right flags.
One girl said she saw an incident between several security guards, the police and a couple. The man was apparently held in a headlock before he was removed, she said.
She described the police as "heavy-handed" and "aggressive".
Homosexuality is not illegal in China, although it is heavy with anti-LGBT attitude.
Dua actually noticed the commotion while she was on stage, and got noticeably upset. Dua told the crowd: "I want us all to dance, I want us all to sing, I want us all to just have a really good time.
"I would love in these last few songs for us to really, really, really enjoy ourselves. How about that?"
Later she posted a message on Instagram:
"I am proud and grateful that you felt safe enough to show your pride at my show," Dua Lipa wrote.
"What you did takes a lot of bravery. I always want my music to bring strength, hope and unity. I was horrified by what happened and I send love to all my fans involved.
"I would love to come back for my fans when the time is right and hopefully see a room full of rainbows."