Officers were alerted at about 09:00 BST that a man was stuck at the Aldi store in Littlefield Road, Dinnington.
South Yorkshire Police said following a search of the area they were "satisfied" no-one was there.
Reports of a break-in were received at 01.25, in which it was said entry had been gained via the air duct system.
One newspaper reported a man broke in overnight and became stuck in ventilation ducts.
Police investigating a break-in at a supermarket spent hours searching the store's roof after staff reported hearing somebody above their heads.