Previously, Interpol had said that reports about Meng's disappearance were "a matter for the relevant authorities in both France and China".
Interpol said the senior vice president of its executive committee, Kim Jong Yang of South Korea, would become acting president.
The country's interior ministry said they were under police supervision in Lyon after Meng's wife was threatened over the phone and on social media. She said the knife was his way to tell her that he was in danger.
She added that four minutes earlier he had messaged her saying "wait for my call".
She says she hasn't heard from him since and does not know what happened to him.
Grace Meng wouldn't speculate on Sunday on what might have happened to him. She said he had travelled back to China for work, after a visit to the Nordics. "For the husband whom I deeply love, for my young children, for the people of my motherland, for all the wives and children's husbands and fathers to no longer disappear".
Interpol said Saturday it made a formal request to China for information about Meng.
She said she has had no further contact with him since the message that was sent on September 25. He was not on French soil when he was last seen, according a senior French law enforcement official, who declined to say whether he was in China. Citing an unnamed source it said Meng had been "taken away" for questioning by disciplinary authorities "as soon as he landed in China".
Under President Xi Jinping, China has been engaged in a crackdown on corruption.
In this July 4, 2017 file photo, Interpol President Meng Hongwei delivers his opening address at the Interpol World congress in Singapore. He had been on a three-country tour, to Norway, Sweden and Serbia, for Interpol before his latest trip back to China, she said.
Grace Meng asked journalists not to show her face as feared for her own safety and the safety of her two children.
The statement by a Chinese anti-graft body was the first official word from China about Mr Meng since his disappearance was reported in France on Friday.
In recent years, investigators at the Communist Party's influential Central Commission for Discipline Inspection - and an even more powerful body established this year by Xi, the National Supervisory Commission - have signaled a willingness to pursue officials in the highest levels of China's security apparatus and military.