They say Mr Thaksin arrived from Dubai at the weekend and there have no legal reason to arrest him.
Mr Thaksin was removed in a 2006 coup. He faces a jail sentence if he returns to Thailand, after being convicted on a conflict of interest charge.
His supporters have been holding mass street rallies in Bangkok.
They are demanding the resignation of the current government and immediate elections.
Mr Thaksin has been in self-imposed exile since 2006 - mostly in London or Dubai.
Montenegrin officials have not publicly commented on how Mr Thaksin obtained the country's citizenship.
Source: BBC
Thoughts: This kind of crap really makes me laugh, this foreign man can pretty much buy his way into any two-bit country that will take his money. Yet hard working, law abiding, family oriented foreign people that live in his country have virtually no chance of attaining citizenship or anything close to it. Money certainly is the only thing that makes the world go round (gravity kind of helps too).
