He was on leave since April 7 and went missing on April 13-14, said reports.
His father, Mohammed Sultan Mir, approached the police station this morning and reported that his son had been missing.
This comes after a photograph of the soldier, identified as Idrees Sultan Mir, brandishing an assault rifle surfaced on social media.
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The police, however, claims Mir, along with two Shopian locals joined the Hizbul ranks on Sunday.
A senior police officer in Shopian confirmed that Mir was had been missing for a few days. In a separate incident, an Army porter was killed in cross-border shelling along the Line of Control in Uri of North Kashmir's Baramulla on Monday. The Army so far maintained that he is "missing" with no information about his joining any terror group.
Meanwhile, a policeman and a civilian were injured on Monday after suspected militants opened fire in Shopian.
Shahid was arrested by the NIA in October a year ago after he was found receiving and collecting funds through global wire money transfer from Saudi Arabia-based Hizbul Mujahideen member Aijaz Ahmed Bhat.
Police said they are investigating his phone records and other activities to ascertain if he was in touch with anyone with terror links. Both were shifted to Srinagar hospital for treatment.