After checks at Rio's international airport, police sources said they believed Lochte had already left Brazil where he won a relay gold medal in the Olympic swimming competition that ended on Saturday.
U.S. media quoted a lawyer for Lochte, one of swimming's most decorated Olympians, as saying his client had already returned to the United States. It was not immediately possible to confirm this.
Feigen, however, was quoted by the San Antonio Express-News as saying that he was still in Rio de Janeiro.
Judge Keyla Blanc, of Brazil's Special Tribunal for Fans and Major Events, on Wednesday ordered the seizure of the swimmers' passports until they gave more evidence concerning the robbery, which fueled fears over security at South America's first Games.
A U.S. Olympic Committee (USOC) spokesman said police had arrived at the Athletes' Village on Wednesday and asked to meet the swimmers and collect their passports.
"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."
If one or both of them have left the country, the judge would then consider whether to ask the swimmers to return to Brazil to give testimony or allow them to do so in the United States, judicial sources said.
A spokesperson for the U.S. consulate in Rio declined to answer specific questions on the case but said parties should work with Brazilian law enforcement in the investigation.
On his official Twitter account, Lochte said: "My hair is going back to its normal color tomorrow", in what appeared to be a tongue-in-cheek reference to changing his appearance. The swimmer competed in Rio with his hair dyed peroxide blond.
On Sunday, Lochte said he, Feigen and two other team mates were traveling 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.
O Globo newspaper reported that authorities had requested a search warrant for the swimmers' accommodation with the aim of finding Feigen's cellphone in order to identify exactly where the swimmers were on Sunday night.
Police on Wednesday issued an appeal for the taxi driver who was allegedly driving the swimmers at the time of the incident to come forward.
Police sources have told Reuters in recent days they have been unable to find the taxi driver or to corroborate any details provided by the swimmers.
The judicial sources said the judge in her ruling pointed to an inconsistency between Lochte, who had said only one man was involved in the robbery, and his team mate, who testified that several men had robbed them.
The judge also noted that video footage of the swimmers returning to the Athletes Village physically well and joking with one another, and in possession of many of their belongings, including cellular phones and Olympic accreditation.
She also noted the swimmers had said they left a party at the French Olympic delegation just after 4 a.m. but security cameras showed them arriving at the Athletes Village at around 7 a.m. - a journey that would normally only take around 30 minutes at that hour of day.