The incident took place in the Zona Rosa District after gunmen reportedly came in to rob the youths, but ended up taking them instead, News reported.
"At first, it appeared that their goal was not to take the youths, but to rob them, however, they took them in the end," said a Mexico City official.
The families of the victims, who are said to come from the capital's famously rough neighborhood of Tepito, have filed a criminal complaint with prosecutors.
Mexican newspaper Reforma, reported that the youths were forced to climb into sport utility vehicles by the armed man. The vehicles reportedly had police insignia. A minor and four women were among the disappeared.
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