The body of 60-year-old Cafe Coffee Day founder VG Siddhartha has been identified in Karnataka state, police Commissioner Sandeep Patel said.
He had left Bangalore on Monday and left his car near a bridge in the Dakshina Kannada district.
Mr Siddhartha told his driver to wait, saying he was going for a walk near the bridge. When he did not return for two hours, the driver notified police.
He leaves behind a coffee shop chain with more than 1,500 shops across India, having built up the business over three decades.
Police are investigating a letter that appeared on social media in which Mr Siddhartha alleged he was facing harassment from tax authorities which had caused a serious liquidity crunch.
The letter, purportedly written by him, also said that he failed to create the right profitable business model despite his best efforts and was facing pressure after borrowing a large sum of money from a friend to buy back shares.