James, 28, who has a history of depression, drove to his home in the centre of Cardiff and left some documents, including his passport, but has not contacted his family or members of the cult group since.
Inquiries by the band's manager and detectives in London and Cardiff have drawn a blank, but revealed that he has not used cash or credit cards or contacted friends since his disappearance on 1 February.
Fellow band members, James Dean Bradfield, Sean Moore and Nicholas Jones, were said to be distressed and have postponed a 30-date concert tour of the US which was due to begin next Wednesday.
Last year the band, whose guitar-based rock is said by commentators to give a voice to alienated British youth, played at the Reading Festival as a threesome while James recovered from alcoholism and anorexia at a clinic.
But a source close to the group said that since then the troubled musician, famed for carving the phrase "4 real" on his forearm with a razor blade during an interview, has steered clear of drink and drugs.
James and another band member, James Bradfield, had stayed at the London Embassy Hotel in Bayswater after a rehearsal the night before he went missing. Bradfield went to his room in the morning but discovered that he had left without taking any clothes.
Detectives believe that James - full name Richard James Edwards - drove his silver Vauxhall Cavalier, registration L519 HKX, to the flat in Cardiff Bay sometime during the afternoon where he left the passport. They think that he is still in Britain.
The decision to publicise his disappearance was made after another band member, Nicholas Jones, and James's father, Graham Edwards, from Blackwood in Gwent, met detectives.Reuse content