She would join her elder brother and former prime minister Thaksin Shinawatra in Dubai, reports said.
A second source also said she had gone, without giving details of her current whereabouts. "But I would like to assure you that the government has no knowledge or intention to let her escape".
Yingluck missed a verdict in her negligence trial that could have seen her jailed, prompting the Supreme Court to issue an arrest warrant fearing she is a flight risk, a judge said.
In her defence, Yingluck's lawyer said she failed to attend the court on Friday due to health problems, explaining she was suffering from vertigo.
The former Thai leader faces up to 10 years in prison for alleged negligence over a rice-buying scheme, which cost the country billions of dollars.
Pol Lt Gen Natthathorn said the court had prohibited her leaving the country without permission when allowing her release on bail during the trial.
She had been banned from travelling overseas at the beginning of the trial in 2015 and has attended previous hearings.
The junta that seized control of Thailand has since suppressed dissent and banned political gatherings of more than five people.
A senior source in Ms Yingluck's Pheu Thai party later told AFP she was "likely in Singapore".
The Supreme Court sentenced Yingluck's former commerce minister, Boonsong Teriyapirom, to 42 years in jail after finding him guilty of falsifying government-to-government rice deals between Thailand and China in 2013.
Propelled to power in July 2011 by her family's electoral base in the poor north and northeast, Yingluck was pilloried by foes as a political lightweight armed with little more than a winning smile and a hotline to her elder brother Thaksin Shinawatra - who once referred to her as his "clone".
That would also have undermined the justification for the military coup which overthrew her government.
The head of Thailand's immigration police chief, Nanthathorn Prousoontorn, said he believed Yingluck still remained in the country.
Their Puea Thai party has - under various different names - won every election in Thailand since 2001. His deputy, Poom Sarapo, was sentenced to 36 years in prison for his role in the case.
In a separate administrative ruling that froze her bank accounts, Yingluck was held responsible for about $1 billion of those losses - an astounding personal penalty that prosecutors argued Yingluck deserved because she ignored warnings of corruption but continued the program anyway.
Police had set up barricades and a checkpoint outside the Supreme Court and Prime Minister Gen. Prayuth Chan-ocha said the administration wanted to avoid trouble.
Today, Thailand remains Asia's only military dictatorship.
Bonds have proved a bigger draw for foreign investors, helping to make the baht the region's top-performing currency in 2017. "We don't think that the defendant is ill", the court said.
Thailand's military government clamped down on political activity after seizing power three years ago following a period of unrest, pledging to restore stability.
However, it is a poorly-concealed secret that some in the military government would have been happy to see her leave the country before the verdict.