Known only as Soldier N, the former SAS sergeant vanished days before he was due to be interviewed as part of a "scoping exercise" into information surrounding Diana's death, the Daily Express reported.
He had been expected to meet Scotland Yard officers in the coming days as part of a new assessment of the evidence in connection with the 1997 car crash in which Diana and Dodi Fayed died.
News about the ex-soldier suddenly leaving the country is bound to throw the probe into disarray, the report said.
Officers were keen to speak to him after he reportedly told his estranged wife that a special forces hit squad was behind the death of Diana, the report said.
The claims were only made public last month.
"Soldier N is key to this inquiry as he is the person who made the claims. Pressure on him has been mounting since the original story broke last month. He was aware police wanted to interview him," a source was quoted as saying by the paper.
Soldier N's estranged wife revealed that during a conversation in 2011, her husband had claimed Diana, 36, was killed by the SAS.
During the conversation, she remarked to him how sad it was that Prince William's mother had been killed, only for him to reportedly reply: "As a matter of fact, it was the Regiment that did it."
Soldier N allegedly further told his wife that the car crash in Paris was caused after an SAS hit team flashed a blinding light at Diana's driver Henri Paul.
Soldier N's claims were later documented in a seven-page letter written by his mother-in- law in September 2011 when his marriage had disintegrated.
Detective Chief Inspector Philip Easton - who worked on the Yard's multi-million pound inquiry into Diana and Dodi's deaths - and a Scotland Yard colleague, travelled to a secret location to interview both women a few weeks ago, the report said.
