Reports say the couple were beaten to death by hundreds of locals who then burned their bodies in the brick kiln where they worked in Punjab province.
Prime Minister Nawaz Sharif called the murders "an unacceptable crime".
Allegations of blasphemy are often used in Pakistan to settle personal scores or to target members of minorities.
Police say the suspects are due to appear in court on Wednesday in Lahore. The victims have been identified as Shehzad Masih and his wife Shama.
About 200 people in Lahore, mainly from the Christian community and human rights organisations, protested against the killings, which took place in the town of Kot Radha Kishan about 60km (40 miles) to the south-west.
They held signs saying "Christian carnage in the name of blasphemy should be stopped" and "the government has failed to give protection to minorities", BBC Urdu's Shumaila Jaffrey reports from Lahore.
Union leader Farooq Tariq told the BBC that the dispute was actually over money.
"The owner of the brick kiln gave it a religious colour, and they locked up the Christian woman Shama for two days, then attacked her with shovels, then tortured her husband and threw them in the brick kiln.
"It's the worst misuse of religion," he said.
In a statement, Prime Minister Nawaz Sharif said "a responsible state cannot tolerate mob rule and public lynching with impunity".
"The Pakistani state has to act proactively to protect its minorities from violence and injustice."
Pakistan's blasphemy laws carry a potential death sentence for anyone who insults Islam.
Since the 1990s, scores of Christians have been found guilty of desecrating the Koran or of blasphemy.
While most of them have been sentenced to death by the lower courts, many sentences have been overturned due to lack of evidence.
However, correspondents say even the mere accusation of blasphemy, or defending someone accused of blasphemy, is enough to make someone a target for hardliners.
In May gunmen in the city of Multan shot dead a lawyer, Rashid Rehman, who had been defending a university lecturer accused of blasphemy.
Last month a Pakistani court upheld the death penalty for Asia Bibi, a Christian woman convicted of blasphemy in 2010 - a case which sparked a global outcry.

According to a statement released by the other two members of the band, the singer and guitarist had left "indefinitely".
In an interview with Rolling Stone, drummer Travis Barker and bassist Mark Hoppus described complications with writing and recording a new album.
However, DeLonge posted "to all the fans, I never quit the band" on Instagram.
He continued: "I was actually on a phone call about a Blink 182 event for New York City when all these weird press releases started coming in.
"Apparently those reports were 'sanctioned' from the band. Are we dysfunctional - yes. But, Christ. #Awkward."
A poster for an upcoming Blink 182 show at an event organised by Travis Barker suggests the guitarist would be replaced by Alkaline Trio's Matt Skiba.
Many of DeLonge's recent posts on Twitter consist of promotion for his other band, Angels & Airwaves, with several links to their the latest album The Dream Walker.
Last summer he performed with Blink 182 in their headline set at Reading and Leeds Festivals.
According to his bandmates, the guitarist's manager sent an e-mail which said: "Tom. Is. Out."
Mark Hoppus claimed this is identical to a message they received in 2005 when DeLonge went on hiatus before reforming in 2009 ahead of the release of the band's sixth studio album Neighborhoods in 2011.
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Pakistani police have arrested at least 43 suspects in connection with Tuesday's killing of a Christian couple accused of desecrating the Koran.
[NEXT_CONCEPT]
Tom DeLonge has denied that he is leaving Blink 182.