Collierville police took the report Thursday after being flagged down by Wright's mother, who told officers he had apparently slipped out of his ex-wife's home and left with an unknown person.
Wright was last seen July 18, the Atlanta Journal-Constitution reported.
Police Lt. Norm Dixon told the newspaper there had been no activity on Wright's phone or any bank transactions since then. Wright's personal vehicles were parked at his home in Smyrna, Ga.
"It's like he literally dropped off the face of the earth," Dixon said.
The Journal-Constitution said Monday Wright's family fears foul play.
Wright had traveled to Collierville to visit his children.
Wright spent 13 years in the NBA after being drafted No. 7 by the Los Angeles Clippers in 1996. The University of Memphis star also played for the Memphis Grizzlies, Atlanta and Cleveland.
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