Insp. Mike McGinn says the store's alarm went off around 4 a.m. Wednesday and employees found an intruder in the building when they arrived and called police.
Officers then evacuated several other stores, shut down nearby roads and Ontario Provincial Police then set up a broad perimeter around the scene.
However, once officers entered the store, no one was found and police say "it is likely that the individual exited the building at the early stages" before they were able to contain the area.
Police say they do not believe the suspect is in the containment area any longer and advise the public to take precautions and report any suspicious activity to police.
There was a flurry of social media activity because of ambulances seen in the area. But police say there were no injuries and the ambulances were just being used to transport police from one location to another throughout the day.
Police earlier said they were aware of unconfirmed sightings in the area of Clyde Marshall and Sabrina Chouart, who are wanted on a murder warrant in Toronto in the death of Sina Parsi.
McGinn says there is no evidence the suspect is Marshall.