The Capella was found near Box Hill in the Wellington suburb of Khandallah about 3.30pm.
A man was found nearby and arrested without incident, Mr Clausen said.
The second man and the gun were yet to be found.
"The security guards were not injured but obviously very shaken after the ordeal," Mr Clausen said.
Police are searching an area around Clark St, Khandallah, where the Mazda Capella was found.
The stolen car was located 15km from the scene of the attempted robbery.
It was not yet clear if the man on the run was the one who threatened the security guards with the gun.
A description of the wanted man was still not available. Police said he may have changed his clothes.
Police asked anybody who saw anything suspicious near The Warehouse about 2.30pm, or near the Box Hill area around 3-4pm, to contact them.
Anybody with information should call Detective Olivia Gibson at Wellington Police on (04) 3812000 or provide information anonymously to Crimestoppers on 0800 555111.