Security footage obtained from her hotel shows her leaving on Wednesday evening and walking to Gladstone Rd.
She was reported missing a day later and the rest of her tour party left the country on Friday as planned.
A police spokeswoman said the room where Mai was staying at the Quality Hotel had been examined for clues as part of the inquiry into her disappearance.
Today Quality Hotel general manager Wayne Darbyshire would not comment about the police inquiry, refusing to say if the missing tourist was part of the tour party that had checked into the Parnell hotel.
"We don't give out any information on guests either past or present," he said.
Meanwhile, Mai's family in China were very concerned, the police spokeswoman said.
Mai is a widow with a teenage child.
The police investigation was continuing.