Keljmendi fled Bosnia last year to avoid being arrested.
Citing Kosovo media, three Bosnian TV stations reported that he was arrested on Sunday night.
Bosnian Security Minister Fahrudin Radoncic said the arrest had to be officially confirmed and that if the news was correct, Bosnia would request his extradition.
However, Bosnia has not recognised Kosovo and does not have an agreement with it that would make extradition possible.
Bosnian police last year broke two criminal organisations, one of which was led by Keljmendi, who fled a day before he was to be arrested. It was believed he was hiding in Kosovo, where he was born and has strong family ties.
Because of suspicion of involvement in serious crimes, Keljmendi has been banned from entering the United States.
He has numerous properties in Bosnia believed to have been bought with illegally obtained money.
Some Bosnian media have warned about unusual business ties between Keljmendi and Radoncic when the latter led the Avaz press company.