The announcement from the Investigative Committee, a top law enforcement body which reports directly to Putin, came nearly two years to the day since the Kremlin strongman stunned Russia by announcing that his political enemy, who had spent a decade in prison, would be pardoned and set free.
Khodorkovsky's supporters say the new move is aimed at silencing Putin's exiled foe.
Investigators earlier this month charged the former oil tycoon in absentia with organising the 1998 murder of a mayor in Siberia.
Investigative Committee spokesman Vladimir Markin said in a statement that an international arrest warrant had been issued for the Kremlin critic, who lives abroad and spends much of his time in London.
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"They've gone mad," Khodorkovsky shot back in a statement released by his opposition group Open Russia.
He said an order to have him arrested in absentia compared favourably to a new law that would allow Russian police to fire at women and children.
"And what's most important it will be safe for the public," he said.
"Mikhail Borisovich will by no means limit his movements because of the hysterical actions of the Kremlin ghouls," Pispanen told AFP, referring to the former business magnate by his first name and patronymic.
Khodorkovsky's lawyer Vadim Klyuvgant said it was up to foreign countries to decide whether to comply with the warrant.
Speaking on Echo of Moscow radio, he called the arrest warrant announcement "another bout of fraudulent activities".
Putin's spokesman Dmitry Peskov insisted that there was no contradiction between the president's move to pardon the ex-tycoon and the arrest warrant.
The searches appeared tied to a 2003 case which led to the criminal prosecution of one of Russia's most powerful oligarchs and the dismemberment of his Yukos oil company which have become defining events in Putin's presidency.