Helmy is under investigation for activities, including his relationship with associates in the regime of former Egyptian President Hosni Mubarak, ousted last year during pro-democracy protests, and his role in the killing of protesters, Egypt Independent reported Wednesday.
"The villa has many safes that Nakhnoukh gave us the keys to," a source in the prosecutor's office told the Independent. "But he did not give us the key to this one."
Helmy, called the "most dangerous thug in Egypt," and 12 members of his gang were arrested earlier this week.
During the search of his villa Wednesday, police said they found five women, large quantities of hashish, machine guns, ammunition and swords.
Prosecutors said five lions, two tigers and six dogs also were found in the residence.