Anthony Kwan Hok-chun was arrested at Suvarnabhumi Airport when boarding a flight to Hong Kong on Sunday. The items were found in his luggage.
Thai law prohibits possession of military equipment without a licence.
He may face a charge of carrying an illegal weapon, and could be jailed for up to five years if found guilty.
Journalists regularly use body armour and helmets when reporting from dangerous locations.
Mr Kwan told the BBC that he is still being investigated and police have yet to formally charge him.
His employer, Hong Kong news outlet Initium Media, said in a statement (in Chinese) that it has engaged a lawyer to help Mr Kwan.
"The legal process has started on this matter, it is thus inconvenient to comment on this matter, but we will closely monitor the developments in this situation and we support journalists' necessary rights to safety," it said.
The Foreign Correspondents Club of Thailand (FCCT) said in a statement that it is urging authorities not to press charges against Mr Kwan.
It added that the legitimate use of body armour should be decriminalised.
"Body armour and helmets used by journalists are not offensive weapons and should not be treated as such," it said, adding that large media organisations make it mandatory that journalists wear armour in potentially risky environments.
It pointed out that Thai authorities had not taken action against Bangkok-based journalists who had openly worn body armour in the past.
The bomb blast on 17 August killed 20 people and injured scores more. Police are still hunting for the main suspect.
A Hong Kong photojournalist is out on bail in Bangkok after he was held for carrying body armour and a helmet while reporting on the recent bomb blast.