The Basque quartet found themselves being unknowingly taken "hostage" while in Mexico City on Saturday.
Relatives of the four band members from Zarautz (Gipuzkoa) received a phone call from men who claimed to have kidnapped them, Spanish newspaper El País reported.
Although it remains unclear whether the "kidnappers" asked the families for ransom money, Spanish police worked jointly with Mexican authorities to ascertain why nobody had been able to reach the Delorean band members since soon after their Mexico City gig.
The alternative dance group unexpectedly cancelled the US concerts which were next in line on their American tour, leading Spanish and Mexican police to suspect they were dealing with a virtual kidnapping.
The usual modus operandi in these types of fake abductions involves convincing the alleged hostages they are in danger in order for them to become unreachable or mysteriously absent.
Scammers will pretend to be police officers when they call the victims and either ask them to hide out in an area with no phone signal or tap their mobiles so that nobody can reach them.
This will in turn give more credibility to their story when posing as kidnappers on the phone to the hostages' relatives.
Although full details of the case have not yet been released by Spanish or Mexican police, Spanish news agency EFE reported that all four Delorean group members were in good health.
Kidnappings have become commonplace in Mexico in the past few years.
Mexican stats agency Inegi recently stated that 105,000 abductions took place in the Latin American country in 2012– which equals one in every thousand Mexicans.