It is important to detect interaction effect of multiple genes during certain biological process. In this paper, we proposed, from systems biology perspective, the concept of co-regulated gene module, which consists of genes that are regulated by the same regulator(s). Given a time series gene expression data, a hidden Markov model-based Bayesian model was developed to calculate the likelihood of the observed data, assuming the co-regulated gene modules are known. We further developed a Gibbs sampling strategy that is integrated with reversible jump Markov chain Monte Carlo to obtain the posterior probabilities of the co-regulated gene modules. Simulation study validated the proposed method. When compared with two existing methods, the proposed approach significantly outperformed the conventional methods.