Last week, Shafiq announced from the UAE that he would return to Egypt to run for president.
According to information by sources at Cairo's International Airport, when Shafiq's plane landed almost 50 family members and his loyalists met him at the airport. He was escorted from the airport by unidentified security men, according to airport officials.
Then, on Saturday, Shafik's lawyer said that she had not been able to speak to her client since Friday and that he had been arrested at his home in the UAE and would be deported to Egypt.
Just hours after his announcement, however, Shafiq said the UAE had barred him from leaving the country. Sisi's supporters see him as key to stability following the upheaval that followed the 2011 Egyptian revolt that toppled president Hosni Mubarak.
A relative of Shafiq's told AFP that "we have no information about him".
UAE authorities confirmed he left the Emirates without giving any details about why.
However, Shafiq's family is still in the UAE, said an unnamed official source cited in the ENA report.
An official source at the interior ministry said: "We do not know anything about Shafiq".
Egyptian President Abdel Fattah al Sisi is certain to run in next year’s election although he has not formally announced his candidacy yet
Mr Morsi himself was ousted by the military in July 2013 following mass anti-government protests, with Mr Sisi elected president a year later.
Earlier this year, he brushed off widespread public criticism and ratified an agreement that cedes sovereignty over two uninhabited Red Sea islands to Saudi Arabia.
Shafiq's candidacy could see him stand against Sisi, who has yet to officially declare his candidacy but looks all but certain to run in and dominate the election next year.
A former fighter pilot, Mr Shafiq served as commander of the Egyptian air force between 1996 and 2002.
State-owned newspapers published a story calling Shafiq calling "the fleeing air marshal" and said his lawyer had made deals with outlets sympathetic to the banned Muslim Brotherhood to help with Shafiq's campaign.
It is the chief prosecutor's prerogative to investigate the complaint and, depending on his decision, refer Shafiq to trial.
Egypt has long accused the broadcaster of being a mouthpiece of the Brotherhood, which it denies. But an Egyptian judicial source said Shafik was not wanted in any criminal cases at the moment, but he had several cases, including for corruption, against him in the past that either ended in acquittal or were dropped.
Shafik said on Wednesday he would run for president in a surprise announcement from the UAE, where he has been based.
But his government is fighting a stubborn Islamist militant insurgency in the Sinai region and has also enacted painful austerity reforms over the previous year to revive the economy but that critics say have dented his popularity.