"We know Oscar and Krejcir were spending a lot of time together in prison, so we wanted to get to all of those who seemed closed to Krejcir," a senior police official told the newspaper.
Pistorius shot dead his girlfriend Reeva Steenkamp, 29, at his home in Pretoria in the early hours of Valentine's Day 2013.
He claimed he thought she was a burglar and was found guilty of manslaughter.
He was due to be released after serving 10 months of his five year sentence on August 21, but his parole was blocked at the last minute by Justice Minister Michael Masutha.
Mr Masutha said that Pistorius' release was premature and that proper procedure was not followed.
A review board will meet on September 18 to decide whether Pistorius, a double amputee, should be granted parole.
In March a video filmed in secret by an inmate at Kgosi Mampuru II that showed the athlete playing soccer with Krejcir in a prison courtyard, was published online.
Police spokesman Solomon Makgale confirmed the raid on Pistorius' cell, but said that no evidence of any criminality had yet been found.
"There is no evidence at this stage to link Pistorius to any criminality, but we are still awaiting analysts reports about the contents of the items confiscated," he said.
Pistorius' lawyer Bryan Webber told The Telegraph that he knew nothing about the incident and refused to comment on whether it would affect the athlete's parole review.
A spokeswoman for the family, Annelise Burgess, said there is "absolutely no way" Pistorius would do anything that is against prison regulations.
The State's appeal against Pistorius' murder acquittal will be heard in November.
- The Telegraph
