The documents reportedly went missing from the North Block office of the Ministry of Home Affairs (MHA).
Deputy Commissioner of Police Jatin Narwal told IANS: "We have filed an FIR in the Ishrat Jahan missing documents case and are planning for further proceedings."
According to the police, in March an inquiry committee led by Additional Secretary of the Home Ministry examined the Ishrat Jahan files in detail and it was found that around five documents including two affidavits were missing.
However, Narwal said that it was too early to determine how these papers went missing from the file, or if they were removed deliberately.
"At this stage nothing can be said. We are probing the matter," he said.
The police have registered a case under Section 409 (Criminal breach of trust) of the Indian Penal Code on the basis of a complaint filed by Under Secretary to government of India, V.K. Updhyay, in this connection.
Ishrat Jahan and three others were killed in an "alleged fake encounter" near Ahmedabad in Gujarat in 2004.
