An arrest warrant for ousted President Viktor Yanukovich has been issued by the country's interim government for "mass murder of peaceful civilians".

Ukraine's acting interior minister Arsen Avakhov said on a Facebook post that Yanukovich arrived in Crimea and relinquished his official security detail then drove off to an unknown location.

"A criminal case has been launched over the mass murder of peaceful civilians. Yanukovich and a number of other officials have been put on a wanted list," Avakhov said.

Yanukovich was last seen on Sunday night at his residence in Balaklava and later headed for Belbek Airport. He never arrived at the destination.

The development came after the newly-installed interim head of state in Ukraine, Oleksandr Turchinov, vowed to seek closer ties with the European Union as Russia recalled its ambassador to Kiev for consultation over the situation.

Turchinov, the former speaker of the Ukrainian parliament who was appointed interim president following the dramatic exit of Viktor Yanukovich, has said Ukraine's integration with the EU and restoring immediate stability to the country are the top priorities.

"The return to the European integration course, the rejection of which had sparked the uprising, is our priority. We must return into the family of European states," Turchinov said in a statement posted on the website of his Fatherland party.

The three-month-long protests which culminated in Yanukovich's impeachment by parliament initially began as a campaign against the government for failing to secure a key deal with the EU, siding with Russia which does not want to let Ukraine out of its sphere of influence.