But Australian Broadcasting Corp. reported from Port Moresby that O'Neill said he was cooperating with police and looked forward to proving his innocence in court.
Police have released no detail of the allegations against a prime minister who led the country for seven years.
Acting Police Commissioner David Manning said in a statement that O'Neill had been found in a hotel in the capital Port Moresby on Tuesday but was not cooperating.
"Whilst I cannot reveal any specific details at this point in time due to the sensitivity of the investigations, I can confirm that police investigators in an ongoing investigation applied to the district court for the arrest warrant for Mr. O'Neill which was granted last Friday," Manning said.
"The warrant was obtained upon the weight of the evidence brought forward by the investigators," he added.
O'Neill resigned as prime minister in May following weeks of high-profile defections from his government to the opposition.
O'Neill said at the time recent movements in parliament have shown a "need for change."
He was replaced by former finance minister James Marape.