Lee, 92, left his home Monday afternoon to go swimming at Los Caballeros Racquet and Sports Club in Fountain Valley, Calif., the Los Angeles Times reported Tuesday.
Police, tracing Lee's credit card purchases, said Lee bought gas in Mojave at about 8:30 a.m. Tuesday and again at about 5:30 p.m. Tuesday in Studio City, Huntington Beach Police Lt. Gary Faust said.
Police verified Lee had been at the Studio City gas station but didn't find him there. How police tracked him to Pico Rivera but where exactly they found him wasn't reported.
Details on the diver's condition weren't reported.
Lee, the son of Korean immigrants, won the gold medal on the men's platform at the 1948 London Games. He was the first Asian-American to win a gold medal. He won gold again in the 1952 Helsinki Games.