Ma, one of the world's richest people, was seen walking in Vilnius and visiting some of the capital's bars.
Egidijus Jurgelionis, spokesman for the Economy and Innovation Ministry, declined to comment on Ma's visit to 15min.
Dalia Klepone, director of Enterprise Lithuania, confirmed that the government's export promotion agency had earlier invited Ma to come to Lithuania, but added that this week's visit was a private one.
The Alibaba founder is worth 38.6 bn US dollars, according to Forbes.