Angus Watson, 24, flew out of Yangon late Thursday to Thailand after authorities accused him of breaching the terms of his business visa by taking part in Wednesday's rally in Magway, central Myanmar, the DVB said.
"Immigration authorities considered he was part of the protest, but it is totally untrue -- he was not part of the demonstration. He was covering it," said DVB deputy executive director Khin Maung Win.
"We are so concerned about this. We will demand documentation and an explanation from the government," he told AFP, adding that no written information on the deportation was provided by the authorities.
Watson is the second DVB journalist in a month to face punishment in Myanmar, after reporter Zaw Pe was handed a one year jail term for "disturbing a civil servant", in a case that has alarmed rights groups.
The DVB was one of several foreign-based news organisations to be lambasted on a daily basis in Myanmar's state media for spreading "killer broadcasts" in the isolated nation during military rule.
Khin Maung Win said the publication appreciated how far Myanmar had come from the junta era approach to the press, but said he feared "they are taking back some of our freedom".
Myanmar has won international praise for reforms under a new quasi-civilian regime that replaced outright military dictatorship in 2011.
In 2012 it abolished draconian pre-publication censorship, which had stifled everything from song lyrics to books and newspapers.
The country has also freed jailed dissidents and expanded media freedoms, enabling many more publications to operate in the country.
But there are rising fears that progress on media freedom has stalled.
Human Rights Watch released a statement on Saturday highlighting fears over the arrest and "intimidation" of journalists, as well as "vague" new press laws which it said could inhibit reporting.
"This serious backsliding raises concerns about the government's commitment to a free press," said HRW deputy Asia director Phil Robertson.
DVB reporter Zaw Pe was jailed in early April, along with the father of a student, over a visit to the education department in Magway region to follow up a story about a scholarship programme in August 2012.
The case has sparked protests and widespread concern among media in Myanmar.
The country ranked 145th of 180 countries in the 2014 Reporters Without Borders press freedom index.