When the journalist asked her (in Chinese) if she was OK, Fu said: "I didn't swim well enough this time," and apologised to her team-mates.
"It's because my period came yesterday, so I felt particularly tired - but this isn't a reason, I still didn't swim well enough."
It was a poignant moment for many Chinese viewers, who took to social media to express their support for her.
"I really admire Fu Yuanhui, for swimming while she was on her period - women can be affected during their periods, especially with period pain... she felt guilty for coming fourth, but Fu Yuanhui we're still very proud of you," user TAO wrote on Sina Weibo.
Tampons are relatively unknown in China
It's also sparked a discussion about tampons - which are not widely used in China.
According to one industry survey, only 2% of women in China use tampons - compared to 42% of US women.