Investigators are treating Tuesday afternoon's attack on Ruben Omar Romano, the 47-year-old Argentina-born coach of Cruz Azul, as a kidnapping, even though his family and the football club have not filed a formal report to police.
People in Mexico are often reluctant to report kidnappings to police, out of fear that corrupt officers may be involved in the abductions or that authorities might kill the victim along with the kidnappers in any rescue attempt.
Mexico City's attorney general, Bernardo Batiz, said that two vehicles used in the abduction and found abandoned a short distance away had been stolen the previous day.
Mexico City's mayor, Andres Manuel Lopez Obrador, said city officials would "do all that we can on our part to clear up the situation and above all to achieve the safe rescue of the coach of Cruz Azul".
The mayor, who is campaigning for the post of president ahead of elections in 2006, also expressed concern that the abduction would damage the city's reputation, at a news conference on Wednesday.
"Any act of violence against any citizen is lamentable, but much more so when it deals with a well-known person, because this implies discredit for Mexico City," Mr Lopez Obrador said.
Mr Romano's abduction comes after a series of kidnappings this year, most in the Mexico City urban area, said Jose Antonio Ortega, who leads a national public safety watchdog group. "I think it is evident now what we all know: that this is a city in which anyone can be kidnapped," he said.
Police have recovered Mr Romano's vehicle, which had one of its back windows shot out by the kidnappers. Mr Romano's father, who lives in Guadalajara, Mexico's second-largest city, said that he had not been contacted with ransom demands, but he feared for his son's safety.
Mr Romano took over a struggling Cruz Azul last December and guided the squad to several weeks at the top of the Mexican league. He has coached several clubs in Mexico, where he was a player for the America team in the late 1970s.
The presidential spokesman, Eduardo Sojo, said the investigation was in the hands of Mexico City officials, "but the Federal Agency of Investigation is absolutely available to collaborate if it is desired and if there's a request by the people affected".
Last year Mexico's federal attorney general's office warned foreign and domestic security consulting firms that they could be accused of concealment or being an accessory to a kidnapping if they advised the families of kidnap victims not to alert the police.
* Two policemen were shot dead yesterday while on their way to work in the northern Mexico city of Nuevo Laredo, bringing to five the number of officers who have been killed in four days in this violent border city, where police have been cracking down on drug- trafficking.
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