Davidson was convicted of sending millions of spam messages promoting penny stocks, which he then traded when the price rose. Police estimate he made over $3 million before he was caught.
After his conviction for tax evasion and falsifying email headers, Davidson was fined $714,139 and had property seized by the authorities.
Davidson was being kept in a minimum security facility in Florence, Colo., and absconded on Sunday.
"He jumped in the car with his wife," Will Cochenour of the Lakewood police told The Rocky Mountain News.
According to accounts, he actually forced his wife into the car, went home and left after a change in clothing.
U.S. Marshals are leading the search for Davidson, with the FBI, IRS and the Rocky Mountain Safe Streets Task Force assisting.