The Q Branch Police, who kept an eye on them, picked up the five Lankans as they were moving around suspiciously in the city, police said.
When questioned, the five identified as D Vasantha Raja, D Ingaran, C Vasanthan, C Satheeshkumar and Nitinnan admitted that they planned to go to Australia.
Earlier, they had attempted to go to Australia twice through some brokers.
The police were now hunting for the brokers, who they suspected would have cheated scores of refugees.
Several instances of Sri Lankan Tamils being cheated by brokers after promising to take them to Australia by illegal means have surfaced in parts of Tamil Nadu and neighbouring Kerala.