New Zealand freelance journalist Campbell MacDiarmid, who works for Egypt's Business Today magazine, was arrested in Cairo on Sunday.
He was reportedly beaten and accused of spying, before he and fellow detainee Adam Ramsey, a British freelance journalist, were released.
Dozens of people have been killed and hundreds injured in Egypt following clashes between the army and supporters of former president of Mohammed Morsi.
Mr Hay, temporarily back in New Zealand visiting family, told the Bay of Plenty Times his thoughts were with Mr MacDiarmid and his family.
"Once the authorities knew we were working for Al Jazeera they deliberately targeted us and held us in cell for days in an attempt to frustrate and scare us. At time it was a very scary and an awful situation to be in.
"Egypt is a very dangerous place for journalists at the moment and obviously I can't go back there in the very near future. It does make you stop and think, what if, but I'm not going to let what happened to me put me off working for Al Jazeera and covering the type of stories I want to do."
Mr Hay said next week he and his family planned to return to Indonesia and he would base himself in Bali.