A shooting range was also found at the actor's home in Douchy-Montcorbon, about 135 kilometers south of Paris.
Prosecutors said Delon did not have a gun license.
The 88-year-old was a star of the golden age of French cinema, playing tough-looking men in hits such as Samurai (1967) and Borsalino (1970).
Tuesday's search came after a court-sent official noticed a gun in Delon's home and alerted the judge.
Delon's health has been poor in recent years after suffering a stroke in 2019. According to French media, he has another undisclosed serious illness.
Family disputes have also been making headlines in France recently.
His three children have been engaged in a legal battle against each other in which a series of insults, accusations and secret recordings have been published in the press.
The latest legal battle concerns Delon's medical treatment and last month a court-approved doctor examined him, but his conclusions were challenged by his children.
Delon was last seen in public as an actor when he received an honorary Palme d'Or at the 2019 Cannes Film Festival.
In September 2019, he attended the funeral of his friend and film star Jean-Paul Belmondo in Paris.
