The unrest between members of the National Guard and special forces of the presidential guard on Thursday night in the capital, Bissau, left at least two people dead.
Embalo, who was in Dubai attending the COP28 climate conference, arrived in Bissau on Saturday and said an "attempted coup d'etat" had prevented him from returning.
"I must tell you this act will have serious consequences," he added.
Since gaining independence from Portugal in 1974, the small West African nation has seen a series of coups and coup attempts.
Embalo, who was elected to a five-year term in December 2019, survived a failed overthrow in February 2022.
A military official, speaking anonymously because of the sensitive nature of the situation, said six soldiers were injured in the fighting and evacuated to neighboring Senegal.
Calm had returned by noon on Friday to the small nation, following the announcement that the army had captured Colonel Victor Tchongo, commander of the National Guard.
On Saturday, the security presence in Bissau was reduced, but soldiers were still visible around certain strategic buildings such as the presidential palace, the judicial police headquarters and some ministries.
Some National Guard officers and soldiers fled into the interior of the country, the army said in a statement Saturday, without specifying numbers.
"The General Staff of the armed forces hereby informs them that they must return to their place of assignment," the statement continued.
Regional bloc the Economic Community of West African States said it "strongly condemns the violence and all attempts to disrupt the constitutional order and rule of law in Guinea-Bissau."
"ECOWAS further calls for the arrest and prosecution of the perpetrators of the incident in accordance with the law," the Abuja-based organization added in its statement on Saturday.
The regional bloc also expressed "its full solidarity with the people and constitutional authorities of Guinea-Bissau."
A spokesman for United Nations chief Antonio Guterres, Stephane Dujarric, called for calm Friday and urged the security forces and the army "to continue refraining from interference in national politics."
Members of the National Guard on Thursday evening stormed a police station to extract Finance Minister Souleiman Seidi and Treasury Secretary Antonio Monteiro, according to army and intelligence officers.
The two government members were being questioned about the withdrawal of $10 million from state accounts. They had been detained under orders of state prosecutors, who are named by the president.
Embalo said someone sent Tchongo to remove Seidi from detention and announced that an investigatory commission would be formed on Monday.
The National Guard is under the control of the interior ministry, which, like most ministries in the country, is dominated by the PAIGC party whose coalition won the June 2023 elections.
The two government members were detained again after the army removed them from National Guard control.
"We have always opted for the application of the law. A president who is elected must complete his term of office," government spokesman Francisco Muniro Conte said Saturday. "We cannot obstruct people who are facing justice, if the law is really respected."
