Judicial sources say they believe the pair are no longer in Brazil.
Judge Keyla Blanc, of Brazil's Special Tribunal for Fans and Major Events, ordered the seizure of the swimmers' passports until they gave further evidence concerning the incident, which has fuelled concern over security at South America' first Games.
A U.S. Olympic Committee (USOC) spokesman said in a statement that police had arrived at the Athletes' Village on Wednesday and asked to meet the swimmers and collect their passports.
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"The swim team moved out of the village after their competition ended, so we were not able to make the athletes available," said USOC spokesman Patrick Sandusky, adding that he could not confirm the swimmers' location for security reasons.
"We will continue to cooperate with Brazilian authorities."
Police believe that Lochte, one of swimming's most decorated Olympians, and his teammate have already returned to the United States ahead of the court ruling, the sources said.
The Games swimming competition ended on Saturday.
The sources said the judge was considering whether to ask the swimmers to return to Brazil to give testimony or allow them to do so in the United States.
Lochte said he, Feigen and two other team mates were travelling to the Athletes' Village in a taxi in the early hours of the morning, after a party, when armed men carrying police badges pulled them over. The gunmen ordered them to drop to the ground and demanded their wallets and belongings, Lochte said.
A lawyer for Lochte could not be immediately reached for comment.
After the judge's decision, authorities requested a search and arrest warrant for the swimmers with the aim of finding Feigen's cellphone in order to identify exactly where the swimmers were on Sunday night, O Globo reported.
Police sources have told Reuters in recent days they have been unable to find the taxi driver allegedly involved in the incident or to corroborate any details provided by the swimmers.
The judicial sources said police were concerned that Lochte had said only one man was involved in the robbery while his team mate testified that several men had robbed them.
The source also said police were puzzled by video footage of the swimmers returning to the Athletes Village physically well and joking with one another.
Ryan Lochte, Michael Phelps et le 4X200 américain champion olympique
Image credit: AFP
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