Police say Short is believed to be in danger and may require urgent medical attention.
The event had contests including owner look-a-like, best pet costume, ugliest pet and a prize in the talent show.
Russell was drafted as the 21st overall pick to the Kansas City Royals.
Critics on the council claim the contract is illegal
The vehicle he was in was reported missing from Arizona.
A Wal-Mart spokesman said that Wal-Mart management quickly called police, who arrived about eight minutes later.
The storms brought .65 inches of rain to Indianapolis officially overnight, along with heavy rain and numerous hail reports.
The Butler coach is coming off a fantastic season in his first year.