"Russia's Investigative Committee investigating this criminal case put Khodorkovsky on the international wanted list back in December," the source said, TASS reported.
"Now he has been put on the wanted list by Interpol," the source added.
The search was announced after the documents were submitted by the Interpol's National Central Bureau for Russia. Khodorkovsky's name has not been included in the Interpol database so far.
Russia will seek Khodorkovsky's extradition, the source added.
Russia's Investigative Committee in early December brought charges in absentia against former head of the now defunct oil company Yukos Mikhail Khodorkovsky, accusing him of organizing murders.
According to the investigation, Khodorkovsky who was a shareholder and the board chairman of the oil company Yukos instructed his subordinates to organize the murder of the mayor of Nefteyugansk.
Khodorkovsky, who currently resides in Switzerland, has denied involvement in the murder of Vladimir Petukhov. He noted that he was ready to answer any questions over this criminal case only to the Swiss authorities. "If the country where I live now finds it necessary for me to answer these questions, I will do that."
Khodorkovskyalso said he didn't intend to go to Russia to be questioned over the case of the Siberian mayor's murder. "I can say one thing: I won't take part in this show," the ex-Yukos chief said.
The former head of oil giant Yukos, Mikhail Khodorkovsky, and his business partner Platon Lebedev were found guilty of embezzlement and tax evasion in May 2005 and sentenced to nine years in prison.
While serving their prison term, both Khodorkovsky and Lebedev were found guilty of embezzlement and money laundering in a second criminal case in December 2010 and sentenced to 14 years in prison, with account taken of the jail term they had served.
Khodorkovsky was pardoned by Russian President Vladimir Putin and left prison in December 2013. Lebedev was released in early 2014.
Media reports said the ex-Yukos head wrote in his pardon request that he pledged not to go into politics.
Vladimir Putin in late December 2014 also noted that Khodorkovsky asked to pardon him, at least he sent a corresponding paper, and "it seemed that he did not intend to engage in politics."
The president later said Khodorkovsky still had the right to be engaged in politics.