Johannesburg - The police stopped an underground search for bodies at Aurora's Grootvlei mine in Ekurhuleni on Friday after failing to find anything, a spokesperson said.
"We went down underground and we could not find anything. We have stopped searching now," said Colonel Noxolo Kweza.
Police officers were on the scene, trying to establish exactly happened at the mine this week.
"We are busy investigating," said Kweza.
The police recovered four bodies of miners on Thursday after The Sowetan newspaper reported that 20 people had been shot dead by security guards while underground.
The newspaper said the dead miners were left underground and that the guards did not notify the police of the shooting.
The Aurora Mine, situated between Springs and Benoni, is co-owned by President Jacob Zuma's nephew Khulubuse Zuma and Nelson
Mandela's grandson Zondwa Mandela.
It was not clear whether those killed were illegal miners or unpaid Aurora employees.
Kweza said the police searched "almost every place" on Friday morning where they had been told there were bodies, but could not find anything.
Trade federation Cosatu on Friday expressed shock at the miners' deaths.
"We fully support the call by our affiliate the National Union of Mineworkers for an investigation of what really had transpired which lead to the death in the mines," Cosatu Gauteng provincial secretary Dumisani Dakile said in a statement.
The department of mining was not immediately available for comment.