Waitematā East area commander Inspector Simon Walker said police received a report of a man acting suspiciously along a walking track in the Long Bay Regional Park at around 4pm.
Walker said the man had reportedly made comments of a sexual nature towards a woman before walking away.
The woman called police who conducted area inquiries to find the man. At this stage he had not been located, said Walker.
In general police advised people that it was safer to exercise with another person or group, carry a phone and share details of where they intended to go and how long they expected to take.