The New Zealand Government has called on the Myanmar military to release detained leader Aung San Suu Kyi.

The South-East Asian nation's democratically elected leader was arrested in an early morning raid by the military, who later declared a state of emergency and said power has been handed to the commander in chief.

New Zealand's Minister for Foreign Affairs Nanaia Mahuta said it's "really important" Suu Kyi is released.

"Aotearoa New Zealand is deeply concerned by the military's seizure of power in Myanmar. New Zealand is a long-standing supporter of Myanmar's democratic transition," said Mahuta.

"We call for the swift release of all those political actors detained, including State Counsellor of Myanmar Aung San Suu Kyi and President U Win Myint, and for a rapid return to civilian rule.

"An election has taken place and the democratic will of the people must be respected. We confirm our support for Myanmar's democratic institutions and the rule of law."

She also warned Kiwis against going to Myanmar during the apparent coup.

"New Zealand officials continue to closely monitor the situation in Myanmar. Consular advice is for New Zealanders in Myanmar to avoid any unnecessary travel for the time being and to monitor media reporting for the most up-to-date information."

The military's actions were taken hours after thousands of protestors marched in the streets of Yangon demanding the re-elected government step down.

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Mobile internet data connections have been disrupted and the state broadcaster is having technical issues and is off air.

The US is already warning the generals to reverse course, saying it will take action against those responsible.

Australia agrees, with Prime Minister Scott Morrison calling the developments "disturbing".

Mahuta said New Zealand will not only voice concern over the apparent coup but also call for action.

Suu Kyi rose to prominence in the 1980s after taking on the ruling military junta. 

Despite winning the 1990 election in a landslide, she was placed under house arrest for 15 years and became one of the world's most prominent political prisoners, winning the Nobel Peace Prize.

Since then she has been accused of inaction over the genocide of the Rohingya Muslims, 750,000 of whom have fled Myanmar.

The UN called it a textbook example of ethnic cleansing.

Now with the military back in full control, Myanmar's already fragile democracy looks to have been shattered completely.