He was supposed to appear in court in Caracas on Monday, but Omar Barboza, who heads Rosales's party, had said on Monday that Rosales would not appear in a court being used as a "political tool" and would instead seek asylum in a "friendly" country.
Prosecutors said they want to charge Rosales with alleged illegal enrichment between 2000 and 2004 when he was governor of the nation's western Zulia state.
Rosales has denounced the charges against him, calling them a "political lynching" and motivated by what he calls Chavez's desire to intimidate opponents.
Venezuelan authorities say that Rosales is unable to explain $60,000 in income and accuse him of embezzling the funds and avoiding attempts to bring him to justice.
Luisa Ortega, the Venezuelan attorney general, said last week that a Caracas court had granted a state prosecutor's request to freeze property held by Rosales to ensure the state could recover any allegedly embezzled money.
She also urged Rosales to come out of hiding and face justice.
However, the case has sparked allegations from the opposition that Chavez, who last year vowed to jail Rosales, is using the legal system to crack down on opposition leaders who won key posts in last November's elections for governors and mayors.
In October, on the campaign trail for regional elections, Chavez in turn accused Rosales of plotting to assassinate him and threatened to have him jailed.
In February, Chavez won a referendum permitting him to run for office indefinitely and has since stripped control of ports and roads from opposition allies.