In an intervie with BBC’s Catherine Byaruhanga, Kyagulanyi said he fled his office when dozens of armed soldiers and police arrived to carry out a search.
He alleged it was an attempt to thwart his challenge to President Yoweri Museveni in next year’s election.
Police have not commented on the alleged missing documents but denied the raid was politically motivated.
Before Kyagulanyi spoke about the missing papers, police spokesman Fred Enanga stated the raid was due to an investigation into misuse of uniform. The government has outlawed red berets – a trademark of Mr Wine – and other pieces of military wear.
“It’s not political. We are carrying out operations on misuse of some of the uniforms and accoutrements,” Mr Enanga said.
Kyagulanyi said that red berets were also seized during the raid.
The MP is facing charges which rights groups say are politically motivated.
One of the requirements to run for election is to have signatures of support from 100 registered voters from at least two-thirds of Uganda’s districts.
Bobi Wine, whose real name is Robert Kyagulanyi, said his team had already collected 6 million signatures, but that these are missing from his party’s offices.
“Museveni’s government is trying to block me from nominating as a presidential candidate,” he told the BBC’s Catherine Byaruhanga.
“From questioning my academic credentials, to questioning my age, now they are making every effort to frustrate my nomination and I want to believe that is why they took the signatures away.”
Asked about where this leaves his aspirations of ending Mr Museveni’s 34 years in power, he said: “We’re not giving up.”
“We have immediately communicated to our branches to ensure they start collecting the signatures immediately and hopefully by Friday we’re going to have the required signatures,” he said.
A spokesperson for Uganda’s Electoral Commission said it could not comment on the alleged missing documents, but added that the deadline can be extended for candidates if they raise the issue with the commission officially.
Last year, BBC’s Catherine Byaruhanga was charged with intending to “alarm, annoy or ridicule” the president. He was also charged with inciting violence after being accused of calling on his supporters to physically harm the president.