Detectives raided a Mount Martha property, about 50km southeast of Melbourne, on Wednesday morning, arresting a 70-year-old man and a 72-year-old woman.
Donning a beanie and hoodie, Mr Gatto arrived home escorted by an unmarked police car, opening the gate for officers in the late afternoon.
He appeared unfazed by the arrest, emerging from his mansion with his dog and a duffle bag before getting into his car.
He briefly spoke with reporters in the driveway of his home before leaving the scene alone.
"When they use 20 or 30 police over a speeding fine, this country is in trouble. It's a load of crap. All a load of crap," he told reporters.
"It'll all come out in due time."
Detectives from Taskforce Hawk, established to tackle criminal behaviour in the construction sector, executed the warrant on Wednesday, along with another warrant in the Melbourne central business district.
Police also seized a number of items including electronic devices and two controlled weapons including a baton and a knife.
"The investigation, which commenced earlier this year, remains ongoing," a spokesperson said.
Mr Gatto was asked by reporters about the knife seized from his house, which he described as "a toothpick."
His lawyer Martin Amad issued a statement on behalf of Mr Gatto, adding the arrest was not a significant development.
"The police action did not relate to criminal activity in the construction industry, both have been released without charge," he told radio station 3AW.
Mr Gatto's name appears 165 times in barrister Geoffrey Watson's Rotting from the Top report, commissioned by former CMFEU administrator Mark Irving KC.
Mr Watson described what he called Mr Gatto's extortion model, where he would ring contractors and tell them he could stop work at a site at a moment's notice unless he was paid a fee.
Mr Gatto, who was acquitted of murdering Melbourne underworld figure Andrew Veniamin in 2005, has denied he was a construction industry standover man.
"The Big Build has never, ever paid me a penny," he told 10 News in February.
"The government has never, ever paid me a penny. The unions have never ever paid me a penny."
In March, Victoria's Labour Hire Authority confirmed it issued a notice of intention to cancel M1 Trades & Labour Pty Ltd's licence after the company was accused of links to Mr Gatto.
Mr Watson noted Mr Gatto denied ownership of M Group companies but said the claim was "transparently false", with "dummy directors" allegedly installed to do his bidding.
Premier Jacinta Allan on Monday suggested police and industry regulators were cleaning up the construction industry, with 88 criminal charges laid and more than 150 licences cancelled.
It came as her government committed to giving Independent Broad-based Anti-corruption Commission "follow the money" powers by late 2027, a decade after the watchdog called for the change.
