The Chinese news Web site Sina.com said Cage had prepared a private jet to leave the country on short notice.
Hong Kong-born twin brothers Danny and Oxide Pang are remaking their 1999 film, "Bangkok Dangerous," Sina.com said.
When news of the coup on Tuesday night reached the crew, Cage was sent back to his hotel. Crew members remained on the set to keep an eye on prop guns until Cage persuaded the producer to send everyone home, according to the report.
The directors couldn't immediately be reached for comment.
Sina.com said filming was scheduled to be completed next month, but may be delayed by the coup, which saw the military overthrow of Prime Minister Thaksin Shinawatra.
Cage, 42, won a best-actor Oscar for 1995's "Leaving Las Vegas." His screen credits also include "Adaptation," "World Trade Center" and "Matchstick Men."