The boxing champion's wife is said to have previously suffered two miscarriages, according to a source.
The source said, according to the Mirror: "Paris did not want to fly. She is pregnant and, although it is early days, they did not want to take any risks."
Fury and his wife are already parents to daughter Venezuela, five, and son Prince John James, three.
Paris had announced she was pregnant just hours before her husband began his fight against Wladimir Klitschko on 28 November.
After Fury was crowned champion on 29 November, he and his wife started the 140 mile drive to Rotterdam, an overnight ferry to Hull and then a drive to Manchester the other side.
Fury has not yet confirmed this was the reason he and his wife decided to take the ferry.
Either way, P&O tweeted their delight at having Fury on board, using the hashtag #FerryImportantPerson.
Clive Gossop, P&O's Head of Operations North Sea, told the Hull Daily Mail: "We were delighted to welcome the new Heavyweight Champion of the World on our Pride of Bruges this weekend.
"He was a pleasure to have onboard and we look forward to taking him to his next defence."
There is no evidence that flying while pregnant can cause a miscarriage.
The NHS states: "Flying is not harmful to you or your baby, but discuss any health issues or pregnancy complications with your midwife or doctor before you fly."
The boxer said in an interview after the fight how much he was looking forward to being home at Christmas with his family.
He said, according to the Mirror: "I’m not thinking about fights, I’m not thinking about about boxing, I’m thinking about life at the moment and I’m thinking about Christmas and enjoying that."