The activists belong to Spanish animal rights group Animal Equality which said on its website that the pair had been detained by police.
Pamplona-based Lorenzo's show was held on the last day of the six-day Madrid Fashion Week, which is held twice a year.
"Consumers, tired of the mass market, want to stand out and infuse themselves with the personality of innovative designs that make a functional and daily use of fur," he wrote in the description of his collection.
A total of 51 designers are showing their collections at 43 fashion shows during this edition of Madrid Fashion Week.
Two Animal Equality activists disrupted Madrid Fashion Week for the first time in February 2009 during a show by Spanish designer Roberto Torreta.
The two men -- who also held up signs that read "Fur is murder" -- were tried for public disorder offences and are awaiting sentencing.