Banerjee also condemned the arrest as "illegal and unconstitutional" and said it is a "dangerous" step to destroy democratic institutions.
The sharp attack by the TMC supremo, who also dared Prime Minister Narendra Modi to arrest her, came even as the BJP demanded her resignation taking moral responsibility after the fresh CBI action in the scam.
Mitra submitted his letter of resignation during the day but it was not accepted by the chief minister.
He was taken into custody after five hours of intense questioning at the Salt Lake CGO complex housing the CBI office.
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CBI sources said that Mitra would be taken to Electronic Complex police station tonight and produced at the Alipur court tomorrow.
The CBI had earlier arrested two TMC Rajya Sabha MPs Srinjay Bose and Kunal Ghosh in connection with the Saradha scam.
The CBI today also arrested Naresh Balodia, legal advisor to Sudipto Sen and Saradha Group on charges of criminal conspiracy, cheating and diversion of funds in the same case, he said.
"What has happened is illegal and unconstitutional. It is a dangerous step to destroy democratic institutions. My government condemns the arrest of Madan Mitra in the strictest of terms," Banerjee told newspersons at the state secretariat.
"It is a conspiracy, very dirty conspiracy, I ask the Prime Minister to put me in jail first. He (Mitra) was called as a witness. Within a few years he was arrested. Is it not a political vendetta?" a furious Banerjee said.
BJP national secretary Siddharth Nath Singh said, "Mitra's arrest shows the TMC leadership is neck deep in the Saradha scam and the dots are leading to the Mamata Banerjee's doorstep. It is time for Mamata Banerjee to resign taking moral responsibility.