Latest reports said that Roy was not found at his residence and police has returned from his Sahara City residence in Lucknow.
High drama marked the police action as a team of Gomti Nagar police station reached 'Sahara City' housing his residence at about 4.30 pm to execute the warrant and conducted searches inside the residence.
Entry into and exit from the premises, which is spread in over 270 acres, was barred but the police exercise did not yield fruit.
"The team is there to execute the non-bailable warrant issued by Supreme Court", Circle officer, Gomti Nagar, VS Mishra said.
SHO Gomti Nagar Ajit Singh Chauhan said that Roy was not present inside the Sahara Shahar premises.
"We have searched the premises. Roy was not found there", he told reporters after coming out of the residence.
Another official said they met her mother and doctors but Roy was not there.
Roy's lawyers had told the court yesterday he was on the bed side of his ailing mother and holding her hands.
Asked whether the police searched Sahara hospital, Chauhan said that Roy was also not present there.
Additional Superintendent of Police, Trans Gomti, Habibul Hasan said that police would do whatever it could to execute the NBW issued by the Supreme Court and produce Roy before the court on March 4, the deadline set by it.
Asked about Roy's ailing mother, Hasan said that she was there at home. Roy's lawyer had yesterday told the Supreme Court that he was with his ailing mother so he could not appear before it.
His lawyer said that Roy has moved Supreme Court for cancellation of non-bailable warrant against him.
Lucknow police has received warrant to arrest Roy and said that it will comply with the court order.
The Supreme Court on Wednesday lost its patience with the defiant Roy and issued a non-bailable warrant against Subrata Roy for failing to appear before it in person as directed by the court at its last hearing.
"We issue non-bailable warrants of arrest qua Subrata Roy Sahara, alleged contemnor. He shall be arrested and produced before this Court on March 04, 2014 at 2pm," a bench comprising justices KS Radhakriahnan and JS Khehar said.
The bench further said, "Since, we have already declined to grant exemption from personal presence of alleged contemnor (Roy) on February 25, 2014, we find no reason to accede to the renewal of the request made today. Accordingly, we issue non-bailable warrants of arrest qua Subrata Roy Sahara, alleged contemnor. He shall be arrested and produced before this Court on March 4, 2014 at 2pm."
The SC ordered the police to arrest Roy and produce him before the court on March 4.
The SC had rejected Roy's request exempting him from a personal appearance citing his 95-year-old Mother's health.
The arrest warrant was issued against Roy in connection with the case in which his two companies - Sahara India Real Estate Corp Ltd and Sahara India Housing Investment Corp Ltd - have been directed to refund Rs 20,000 crore to investors.
(With agency inputs)