Another person was injured and has been hospitalised, while the guide escaped unharmed from the avalanche in the area around Entraunes in the southern Alps, local authorities in the Alpes-Maritimes department said.
They were swept away while skiing off-piste near the Mercantour National Park, not far from France's border with Italy.
The guide was held in police custody on Friday night and an investigation has been opened into possible manslaughter and unintentional harm, Nice prosecutor Jean-Michel Pretre said.
Pretre told the media that the skiers were "apparently experienced" and accompanied by the senior guide who knew the mountain range.
"A risk was taken. Was it acceptable, reasonable, or not?" said Pretre. "This is the subject of the investigation."
The group, which consisted of three women and two men, all French, as well as the guide, were caught in a double avalanche on a slope at the bottom of valley, the prosecutor said.
The guide was able to get free and search for the others, who were equipped with location devices, and found the other survivor, a woman.
The investigation will also look into whether the avalanches were natural or triggered by the skiers.
The skiers had been staying at a guesthouse in Estenc and had started out toward the Cayolle pass with their guide at around 10:00 am (0900 GMT).
The French Alps have experienced heavy snowfall since the start of the week, as a blast of icy weather from Siberia -- dubbed "the Beast from the East" -- engulfs Europe.
"A lot of snow had fallen the past few days and the warmer weather since Thursday has destabilised the fresh snowpack," said Jean-Gabriel Delacroy of the Alpes-Maritimes prefecture.
The avalanche risk for the region is high, currently at four on a scale of one to five, according to the Meteo France weather agency.
Deputy prefect Gwenaelle Chapuis told BFM television that a police inquiry would determine "if this was recklessness or not".
A total of 20 people have now died since France's ski season began in November, and 12 have been injured.
On February 15 an avalanche in the Pyrenees mountains killed three skiers.
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