Sergei Polonsky had been seeking Israeli citizenship but fled the Jewish state Friday, one step ahead of an arrest warrant issued in his native Russia earlier in the week.
Lawyer Diana Tatosova told Russia's RIA Novosti news agency the tycoon "had left Israel because a threat to his security emerged."
Polonsky is wanted in Moscow for allegedly embezzling 5.7 billion rubles ($176.2 million) from a massive residential real estate development.
Polonsky was arrested in Cambodia last year for an alleged scuffle with the crew of a ferry. He was released on bail and allowed to travel to Israel for medical treatment.
Polonsky's lawyer in Cambodia told RIA Novosti his client had made it to Thailand, but he had no idea what kind of passport or other travel documents he was using to re-enter Cambodia.