"However, the matter is under investigation", said a police officer.
Police sources said the family claimed Khan had gone missing after he left for Friday prayers.
Sehrai, 72, who is considered to be more of a hardliner than his predecessor Syed Ali Shah Geelani, was recently elected chairman of Tehreek-e-Hurriyat. Earlier this week, Sehrai was elected as the chief of Geelani's party after Geelani chose to step down.
The picture of Junaid Ashraf Sehrai, 26, wearing a skull cap and carrying an AK-47 assault rifle and ammunition pouch went viral on Saturday. He added that the police is still trying to ascertain the facts.
A source close to the family said Junaid has an MBA degree from Kashmir University.
Police official confirm Press Trust of Kashmir that they have received a complaint from the Sehrai family.
"It was stated that the lingering Kashmir issue was the main reason that the two nuclear powers were at loggerheads and the cause of the present instability in the South Asian region", statement said, adding: "While taking further the earlier decision of the executive council with regard to making the forum more vibrant and active, the meeting deliberated and chose to take certain steps in this direction".
This is the first time in the last 30 years of insurgency that a son of any top separatist leader has joined militancy. Geelani's sons and daughters as well as Syed Salahuddin's sons and daughters have joined the mainstream and are working in various government departments.
The police have not officially confirmed about Khan joining militancy. The DGP said: "This is very unfortunate". He has urged the parents of Junaid to make an appeal to their son to return home. He said Sehrai himself should take a lead in entering into a dialogue so that youth of Kashmir are saved from the path of violence.