The Durango Police Department initially had been looking for the man after it received a report at 3:39 p.m. that he was making threats to someone.
The man's vehicle was identified by a witness, and the La Plata County Sheriff's Office then found the vehicle and pursued it, according to Patrol Sgt. Rita Warfield of Durango police.
The San Juan County Sheriff's Office took over the pursuit once the pursuit crossed over into New Mexico, according to office spokeswoman Beth Utley.
Officers were led into Hart Canyon near Aztec, though they lost track of the man once he got about a half mile ahead of them, according to dispatch radio.
The San Juan County Sheriff's Office found the vehicle, a silver van, in Hart Canyon, near Aztec.
Authorities continue to search for the individual and have responded to a report of breaking and entering that may be connected.
The office's helicopter also is involved in the search.