However, this morning he tweeted that Policia Militar had arrived unannounced at the apartment he shares with McQuillan.
"I have refused them access, called my embassy and we are waiting for Civil Police ... I was assured by civil police that by making a statement, my personal information could not be accessed by Policia Militar."
He added on Twitter that he and McQuillan were locked in their apartment waiting for advice from the New Zealand ambassador.
"Policia Militar has now left. Awaiting arrival of Civil Police."
However, several hours later he shared better news with his Twitter followers.
"We are safe. Thanks for the msgs from everyone overseas and locally. I will reply to you all when time allows. Thanks for the support!"
McQuillan also tweeted thanks.
"We are ok & grateful for the support of NZ Embassy, Civil/Tourist Police & State Secretary for Security."
However, despite a visit from Civil Police, they still did not know how the Policia Militar got their address, and if it came from Lee's complaint form.
Lee had earlier described the situation in Rio as "well and truly f**ked in every sense of the word".
"I'm not sure what's more depressing, the fact this stuff is happening to foreigners so close to the Olympic Games or the fact that Brazilians have to live in a society that enables this absolute bullshit on a daily basis."
His overseas adventure began more positively.
In a Fairfax column in February about Kiwis living overseas, Lee wrote about the advantages of living in the South American city, notorious for its high crime rates.
"I would have to say the greatest advantage (of living in Rio) would be the weather, which is amazing almost all of the time - even during the winter it's hot enough to go swimming at the beach. Also the cost of living is much lower than New Zealand.
"There are obvious disadvantages, such as crime and personal safety but I would urge this isn't a big enough problem to discourage people from visiting. The language barrier can be tough at times as very few people speak English, so learning Portuguese is a must for day-to-day life."
Lee's kidnapping allegation comes after two members of the Australian Paralympic sailing squad were robbed at gunpoint last month.
A spokesman from the Ministry of Foreign Affairs and Trade said it did not have information on the alleged incident involving Lee, but pointed to its advice section.
"Reports of express kidnappings in Brazil are common in major cities. This is when criminals abduct a victim for a short amount of time and force them to withdraw funds from their bank account.
"To reduce the risk of this occurring we recommend you use ATMs that are located in public places during daylight hours or ATMs located within bank branches."
