Manuel Rosales, who founded the A New Time opposition party and ran against Chavez in the 2006 presidential election, will address Venezuelans within 48 hours on the matter, said Omar Barboza, the party's president.
Rosales' allies say he is in hiding and cannot get a fair trial in the courts. Authorities said Rosales is unable to explain $60,000 in income and accuse him of embezzling the funds and avoiding justice.
"We have definitively decided that he will not appear before a court that has been converted into a political instrument," Barboza said. He did not identify which country Rosales was appealing to for asylum.
The case has sparked criticism that the leftist Chavez, who last year vowed to jail Rosales, is using the legal system to carry out witch-hunts against opposition leaders who won key posts in November's elections for governors and mayors.
Rosales is the mayor of Maracaibo, the country's second largest city.
A court in Caracas was scheduled Monday to set a start date for the trial. Barboza said opposition leaders had found evidence the presiding judge had already prepared a ruling to have Rosales jailed, suggesting to them a rigged process.
Attorney General Luisa Ortega last week said a Caracas court had granted a state prosecutor's request to freeze property held by Rosales to ensure the state could recover any embezzled money.
She called on Rosales to come out of hiding and face justice.
Buoyed by a victory in a February referendum that let him run for office indefinitely, Chavez has stripped control of ports and roads from opposition allies.
The Venezuelan Congress has approved a law allowing Chavez to appoint a leader to oversee the governance of Caracas, weakening the influence of the capital city's opposition mayor, who is a fierce Chavez critic.
