However, a friend of Sanader, Jerko Rosin, said on state-run TV Friday that the former leader was on a foreign business trip and would cut it short to return home.
The state-run news agency HINA quoted Sanader as calling the investigation politically motivated. "I didn't head a (criminal) gang, I headed the Cabinet," HINA quoted him as saying.
Police spokesman Krunoslav Borovec told The Associated Press on Friday that the arrest warrant for Sanader - who is now a lawmaker - was issued overnight and sent to Interpol, and 188 of its member countries are searching for him.
Once hailed at home and abroad for uprooting the nationalism that reigned in Croatia in the 1990s and making it pro-Western, Sanader is now technically a fugitive. Biographical information and his photo appeared on a Croatian police and Interpol lists of wanted persons Friday, and police searched his home.
Sanader, who abruptly quit as prime minister on July 1, 2009, left Croatia on Thursday morning without problem since there was no warrant for him at the time.
He has a company in Austria and has visited the United States to speak at Columbia University's Harriman Institute, which focuses on countries of the former Soviet Union, East Central Europe and the Balkans.
Sanader - the highest-ranking official to be charged for a crime since Croatia became independent in 1991 - was last seen driving into neighboring Slovenia on Thursday morning. Repeated efforts to reach him on his cell phone Friday were unsuccessful.
In Croatia, a lawmaker can be sought, detained and prosecuted after he's stripped of immunity. Parliament lifted Sanader's immunity Thursday afternoon.
Croatia's Office for Suppression of Organized Crime and Corruption said Sanader is suspected of conspiring to commit crime and abuse of office. It did not disclose details of the ongoing investigation, but at its request Zagreb district court ordered Sanader's 30-day detention.
Interior Minister Tomislav Karamarko said Croatian police are "intensively" cooperating with their colleagues in countries such as Slovenia, Austria and Germany in searching for Sanader.
Several former government officials and businessmen - including Sanader's closest allies as prime minister - have been jailed as Sanader's successor, Prime Minister Jadranka Kosor, works to fight high-level corruption. That goal is a key condition for Croatia's entry into the European Union. Croatia hopes to join the bloc in 2012.
Croatian media have been speculating for months that Sanader was under investigation in Kosor's anti-graft crackdown. The opposition claims that graft was widespread in his government and that he either condoned or led it.
According to a U.S. cable published by WikiLeaks, chief state prosecutor Mladen Bajic told the U.S. Embassy in Zagreb in January 2010 that there are several ongoing corruption cases targeting Sanader and that at least one case could lead to his indictment.
Bajic referred to one case in which Sanader allegedly arranged a bank loan for a neighbor in the 1990s in return for an 800,000-German mark (euro410,000; $542,000 at today's rates) kickback.
It also cited Bajic as saying that although some cases against Sanader may seem minor, "Al Capone was brought down for tax evasion rather than for his more notorious activities."
Sanader quit as prime minister at the middle of his second term, saying only that he decided to leave politics. Kosor later removed him from her governing conservative Croatian Democratic Union, but he returned to parliament as an independent lawmaker last month.