Managers at the Wal-Mart in Greensburg became suspicious during the autograph session on Saturday and called police.
"After it had started, they suspected it to not be on the up and up," Police Chief Brian Heaton said.
By the time officers arrived, the man had left, but another person claiming to be his manager said store managers knew the man wasn't really Austin.
"He claims Wal-Mart knew he was a look-alike. However, they had no material stating he was a look alike nor did they say he was a look alike," Heaton said. "People thought they were getting the real deal."
The phony wrestler made off with an undetermined amount of money in the city about 40 miles southeast of Indianapolis. Heaton said investigators were working with World Wrestling Entertainment, which owns the rights to the name "Stone Cold" Steve Austin.
"They've had other instances of this happening," Heaton said.
Wal-Mart is cooperating with police in the investigation and had made refunds to some customers, company spokesman Phillip Keene said.
"We don't approve of our customers being solicited in our stores," Keene said.