The activists were detained at Ashoka Road around 2 PM as they were heading towards the music launch event venue in Royal Plaza Hotel in Connaught Place, a senior police officer said.
They were put in a bus and taken to a police station in New Delhi district.
Hindu Sena chief Gupta had allegedly threatened the film's director Suhaib Ilyasi, who lodged a complaint at Connaught Place police station yesterday, the officer added.
Gupta, meanwhile, had claimed the film was "anti-Hindu" and said, "We have sought cancellation of its music launch. We have decided to protest against it."
The music release of 'Ghar Wapsi' had to be cancelled in January following Shiv Sena's opposition in Mumbai. Ali, 75, had cancelled his visit to Mumbai for the music launch following threat of disruption by Shiv Sena.
Ali, whose several concerts in India had to be cancelled last year following Shiv Sena threats, is making his acting debut with the Hindi feature film.