"Mr Sheikh has taken asylum in Sweden along with his family as he was facing serious threats to his life," advocate Muhammad Ali, a colleague of Sheikh, told PTI.
Sheikh had been making efforts to get asylum in a foreign country since he was abducted with his son in May, his colleagues said.
"Mr Sheikh was quite upset after the murder of Sarabjit. In fact, he was not feeling secure here and the abduction had made him and his family more vulnerable," Ali said.
The lawyer, who is in his late fifties, was allegedly abducted with his elder son, Shahrukh, near Lahore on May 16. The kidnappers set free father and son without any demand or threat.
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However, police investigators had smelt a rat in Sheikh's claim about being kidnapped.
Sarabjit died on May 2 after being comatose for nearly a week following a brutal assault by other prisoners in Lahore's Kot Lakhpat Jail.
Sheikh had also handled the cases of other Indian prisoners in Pakistani jails, especially in Lahore.