"We are providing consular assistance to a number of Australians in Myanmar," Ms Payne said in a statement on Saturday.

"In particular, we have serious concerns about an Australian who has been detained at a police station.

"We have called in the Myanmar Ambassador and registered the Australian government's deep concern about these events.

"The Australian Embassy in Yangon continues to contact Australians in Myanmar to ascertain their safety, to the extent that communications allow."

Ms Payne's statement did not mention Sean Turnell specifically, though it follows news that Mr Turnell, an Australian citizen and personal advisor to Aung San Suu Kyi, has been detained days after democratically elected Ms Suu Kyi was overthrown in a coup.

"I guess you will soon hear of it, but I am being detained," Mr Turnell said in a message to Reuters.

"Being charged with something, but not sure what. I am fine and strong, and not guilty of anything."

Mr Turnell is director of the Myanmar Development Institute in Naypyitaw, Myanmar and has served as special consultant to Aung San Suu Kyi since December 17.

He is also a professor of economics at Macquarie University.

Mr Turnell posted on his Twitter account earlier this week about the volatile situation, including a photo featuring him sitting beside Ms Suu Kyi.

"Thanks everyone for your concern yesterday," he wrote on February 2.

"Safe for now but heartbroken for what all this means for the people of Myanmar. The bravest, kindest people I know. They deserve so much better."

A day earlier he wrote: "Internet comes and goes, but not the grief on the faces of my Myanmar friends."

Thousands of people have taken to the streets of Yangon in Myanmar to denounce the military coup that began on Monday and demand the release of elected leader Aung San Suu Kyi.

AAP has contacted Mr Turnell for comment.

Australian Associated Press