It was the second kidnapping in Malaysia's Sabah state on Borneo island in a month, prompting the state government to announce a curfew and travel restrictions in high-risk areas.
Mohamad Bakri Zinin, Malaysia's national deputy police chief, said five men clad in military fatigues entered the fish farm before dawn and kidnapped Yang Zailin, 34.
He said two of the men were believed armed with M16 rifles. Police pursued the kidnappers who fled on boat and exchanged fire at a nearby island, he said.
A Philippine security official, who declined to be named as he wasn't authorised to speak to the media, said Yang was believed to have been taken to the Mindanao region in the southern Philippines.
China's Xinhua News Agency said that Beijing had urged Malaysia to speed up efforts to rescue him.
The spate of kidnappings underline persistent security threats in Sabah, a popular tourist destination and dive spot that is a short boat ride from the southern Philippines, where Muslim militants and kidnap gangs have long found safe haven.
He also said a curfew will be implemented in parts of the state and sea lanes will be designated for ships and boats in high-risk areas, he said in a statement. Police will give details on those measures later, he added.
Last month, Abu Sayyaf militants seized a 28-year-old Shanghai woman and a 40-year-old Filipino hotel receptionist from the Singamata Reef Resort and took them by motor boat to their jungle stronghold in the predominantly Muslim province of Sulu, Philippine security officials said.