Searches were conducted at the offices of the Seoul Metropolitan Police and the National Assembly Police Guards, the report said.
The South Korean president was not inside the presidential office building during the raid, the report added.
Former South Korean Defense Minister Kim Yong-hyun, currently under arrest after last week's attempt to impose martial law in the country, has attempted suicide, Shin Yong-hae, the head of the correctional center where the minister is held, said on Wednesday.
"Yesterday, at about 23:52 [local time, 14:52 GMT], a guard on duty reported that [Kim] attempted suicide in a toilet at an order awaiting room," Yonhap quoted Shin as telling the South Korean Parliament.
The center's staff immediately interfered and prevented the attempt by the ex-minister, the penitentiary official said, adding that Kim is currently under guard and his health does not cause alarm.
On December 3, Yoon declared martial law, claiming that the opposition was sympathizing with North Korea and plotting a "rebellion." The parliament defied the presidential declaration and voted to lift the martial law. The office of the speaker of the parliament, Woo Won-shik, said that the president's declaration of martial law was invalid following the lawmakers' vote. Shortly after, Yoon lifted the martial law and apologized to the nation. The president was later banned from leaving the country amid an investigation into the botched martial law, while former Defense Minister Kim Yong-hyun was arrested as part of a probe into a potential treason case.