"We are gathering further information."
Earlier on Wednesday, a judge had ordered police to seize the passports of Lochte and Feigen to prevent them leaving the country, apparently unaware that Lochte had already left.
None of the swimmers face charges, the source said.
Police have taken the passports of Bentz and Conger pending their testimony, O Globo newspaper said on its web site.
People magazine reported that Lochte was spotted at an airport in North Carolina on Wednesday with his girlfriend, Kayla Rae Reid, a Playboy model. Reuters could not verify this.
Lochte's attorney did not return calls for comment.
Judicial sources said the judge would consider whether to ask Lochte to return to Brazil to give testimony or allow him to do so in the United States. He had already given testimony to Brazilian police before leaving the country.
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