The incident was reported around 10:00 am when CISF officials detected some metal objects while frisking the passenger, identified as P Ghosh.
Ghosh was asked to remove his shoes which were placed on the X-ray screening system. It revealed that a knife was concealed in each shoe, officials said.
Ghosh and his three companions were handed over to police, they said.
The four hail from Tripura.
Police were trying to ascertain the motive of the passenger for carrying the knives, they said.