According to police, Mr Nikam was accompanied by a personal security guard armed with an AK-47 and four constables, two each at the entry exit of the coach.
Mr Nikam enjoys Z-plus security since 2009, when he first represented the state in the 26/11 terror case, police said.
According to an official, Mr Nikam had left for his hometown Jalgaon on June 2 by Pathankot Express and had kept his cell phones under his pillow during the journey.
"When he woke up around 5 am near Pachora, he found that his cell phones were missing. He immediately called his personal security officer and tried to call on his cell numbers, but they were switched off," the official added.
"An offence of theft has been registered at Bhusawal Railway Police Station and investigation is going on," Mr Gaonkar said.
Some suspects have been detained and further probe was on, the official said.