Shah told IANS: "I have been detained. I have been taken to the guest house where I was originally scheduled to stay."
Shah is scheduled to attend the reception party of Pakistan National Security Advisor Sartaj Aziz on Sunday and he was the first separatist leader to reach Delhi.
The Jammu and Kashmir Police had earlier arrested all Hurriyat leaders including Shah, but later they were released after a few hours.
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Other leaders among the separatists including Syed Ali Shah Geelani, Mirwaiz Omar Farooq and Yasin Malik are also supposed to visit here to meet Aziz.