All red-shirt leaders escaped from an army crackdown in the SC Park hotel in eastern Bangkok, local TV PBS reported Friday.
A security officer was injured during the operation to search for alleged "terrorists" and red-shirt leaders hiding there.
Police found bullets and bombs in the room resided by one of the red-shirt leaders Arisaman Pongruangrong.
Hundreds of red-shirt protesters gathering at the hotel to rescue their leaders are leaving for their rally site at the Rajaprasong intersection after seeing the army fail to arrest any red-shirt leaders.
Thai special forces earlier besieged SC Park Hotel to round up alleged terrorists and some red-shirt protesters' leaders, Deputy Prime Minister Suthep Thaugsuban said in a national televised speech on Friday.
Suthep, who is in charge of security affairs, said the arrested red-shirt leaders and alleged terrorists would be taken to the headquarters of the 11th Infantry Regiment for questioning over their alleged involvement in deadly clashes with troops last weekend.
At least 24 people were killed and more than 800 injured in the clashes on April 10 as troops attempted to disperse the demonstrators, the worst political violence in nearly two decades.
The 11th Infantry Regiment in north Bangkok is home to the government's Center for the Resolution of Emergency Situation which is in charge of implementing the state of emergency law.