Pedro Carmona disappeared after authorities lifted an order keeping him under house arrest while officials investigated his role in the overthrow of President Hugo Chavez.
Foreign Minister Luis Davila said: "I have just been told by the Colombian foreign minister that Pedro Carmona has asked for political asylum and he is in the Colombian embassy here in Caracas."
Mr Carmona's escape came a day after a court in the Venezuelan capital, Caracas, ordered him to be transferred to a jail.
There had been speculation about his whereabouts after Mr Carmona's lawyers had said he had disappeared from his luxury Caracas apartment where he had been held under arrest following the hearing.
President Chavez was ousted by military generals on 12 April after 17 people died in anti-government protests.
Rebellion charges
The coup leaders installed Mr Carmona as president, claiming Mr Chavez had resigned, but Mr Carmona was arrested two days later.
During his brief tenure, Mr Carmona dismissed Congress and the Supreme Court, abolished the constitution and appointed a cabinet.
He is being investigated for rebellion and conspiracy and faces up to 20 years in jail if convicted.
The BBC's Adam Easton in Caracas says that if Colombia decides to grant the asylum request, it is likely to sour relations between the two countries which have had their ups and downs in the past.
Rodriguez protests
On Thursday, tens of thousands of Venezuelans took to the streets of Caracas demanding the resignation of the Prosecutor-General, Isaias Rodriguez, a key ally of Mr Chavez.
It was the third massive demonstration in Caracas since the brief coup.
The protesters accused Mr Rodriguez of being biased in his handling of an inquiry into violence during the failed coup.
Mr Rodriguez told the BBC that he would not resign, and said the protest against him was orchestrated by the same people who were behind the coup.
Government and opposition blame each other for the deaths, and more than a month later, few details have emerged from Mr Rodriguez' investigation.
The prosecutor-general served as vice-president under Mr Chavez, and opponents fear a government cover up.