Informed sources said the Delhi Police issued the alert after Gurgaon Police first spotted the balloon in its area.
The development comes a day after the IAF said it shot down "an unidentified balloon" in Barmer district of Rajasthan.
Gurgaon Commissioner of Police Navdeep Singh Virk said: "At about 3.15 p.m., patrol guards at the IAF Station on the Gurgaon-Faridabad road reported the sighting of an unidentified red-and-white balloon of about one-metre diameter, flying 1-1.5 km high towards Aya Nagar in Delhi from the Gurgaon-Faridabad Road side.
"The Gurgaon police control room alerted its counterparts in Delhi and Faridabad. No balloon has been recovered as yet but further enquiries are in progress."