Authorities in Tamaulipas tweeted that there is a "special operation" to find Pulido, who disappeared in Ciudad Victoria on Saturday night.
Ismael Quintanilla, Tamaulipas state prosecutor, told reporters that Pulido was intercepted by armed men after leaving a party.
"At this difficult time, our thoughts and prayers are with Alan," the Olympiakos team tweeted. "We sincerely hope that this ordeal will soon end and that he will return home safely."
Tamaulipas, which abuts Texas, is an especially violent part of Mexico.
(Reporting by Veronica Gomez; Editing by Phil Berlowitz)
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