Chilean-born Marco Evaristti said he had been aiming to raise awareness of the suffering caused by mass meat production with his art installation that opened last week in Copenhagen.
The piglets were being denied food and water and would have been allowed to starve to death.
But in an unexpected twist, Evaristti has revealed that the piglets - dubbed Lucia, Simon and Benjamin - were taken by animal rights activists who were assisted by his friend, Caspar Steffensen.
"I called up police on Saturday to report the piglets stolen and I had to shut down the entire exhibition because of that - so I was very disappointed when Caspar told me on Tuesday that he was involved in the theft," said Evaristti, who claimed to have received hate mail.
"But then I thought about it for a few hours and realised that at least this way the piglets would have a happy life."
Copenhagen police confirmed they had received reports "that the pigs had been stolen from the exhibition".
Evaristti's And Now You Care exhibition involved a makeshift cage created with shopping trolleys containing the three piglets.
He said the intention of the art installation was to raise awareness about the cruelties of modern pig production in Denmark.
The Animal Protection Denmark welfare group says that sows are bred in the Danish pig industry to produce about 20 piglets at a time, but only have 14 teats, forcing the piglets to compete for milk, leading to starvation of many.
However, several animal rights groups expressed concern about Evaristti's exhibition, saying that while they welcomed initiatives to raise awareness they did not condone the abuse of animals.
Steffensen said he could not allow the three animals to face a painful death after his 10-year-old daughter had begged him to "make sure the piggies won't die".
"So when I was approached by an activist to help free the animals, I let them into the gallery secretively on Saturday," Steffensen told the AP.
He said he was not initially planning to tell Evaristti about the removal of the pigs, but when the animal advocate group De Glemte Danske posted a statement online on Tuesday saying it had rescued the piglets, the secret operation became public.
Evaristti says he is already developing ways to revive the exhibition. One idea is to steal dead piglets from meat processing plants and present them to the public.
He also wants to buy another three piglets - not to starve, but to auction to the highest bidder promising them a happy life.
"I got a lot of hate messages from around the world - I think people don't get that my art is about animals rights," Evaristti said.
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