"The house was found locked and the team returned empty handed," additional superintendent of police of Indore R.D. Khare said.
The Mumbai police Saturday went to Jaju's house, in the cantonment town of Mhow (Military Headquarters Of War) - about 40 km from Indore.
Priyanka's father Ashok Chopra had lodged a complaint with a police station in Mumbai alleging that Jaju was threatening him and her daughter.
Jaju had also lodged a counter complaint with the Mhow police station, saying that underworld don Chhota Shakeel had threatened him that he would kill him if he demanded the money the actress owed him, the police said.
Earlier, Ashok Chopra had also phoned Jaju warning him against asking money from her daughter, said superintendent of police Adarsh Katiyar.
The actress' former secretary claimed that Priyanka owed him Rs.13.7 million.
"A month after winning the 'Miss World' title, Priyanka signed an agreement, which entailed a payment of 10 percent of the amount for every movie, stage show and advertisement," Jaju said.
He added that it was he who got the actress roles in movies like "Hero", "Andaaz", "Kismat", "Asambhav", "Black Mail" and "Mujhse Shaadi Karogi".
Jaju had allegedly filed a suit against Priyanka for the recovery of his money in a Mumbai court in 2004.