The report said police have raided the house of Subrata Roy, after a non-bailable warrant for his arrest was issued by the supreme court.
The police "failed to find him there", the newspaper said, but Roy insisted in a statement on Friday that he is not on the run.
"I am not that human being who will abscond," he said. "In fact, being a law-abiding citizen, I shall hate myself to do any such thing ever in my life."
The warrant was issued after Roy failed to appear in court to answer a case about unpaid refunds to investors.