He is accused of pocketing more than £24,000 of government payouts he wasn't entitled to while he worked for the BBC.
Penteado, 40, from Bournemouth, Dorset, has not responded to letters of enquiry sent to him by Bournemouth Borough Council.
As a result he was sent a court summons to appear before Bournemouth Magistrates' Court yesterday to answer several charges of fraud.
But he failed to show up and a warrant has now been issued for his arrest.
Dorset police today confirmed they making enquiries to trace Penteado so they can arrest him.
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Johanne McNamara, prosecuting for Bournemouth Borough Council, told magistrates that Penteado, a private investigator, stated he was a student to claim the benefit from 2008 to 2012.
She said: "Mr Penteado was claiming housing benefit and council tax benefit on the basis he was a full-time student with a family, he received benefit on that basis.
"Over a period of time his position has changed. He was actually employed on BBC's Rogue Traders' programme as a motorbike rider.
"There are a number of offences.
"Some relate to failing to disclose a bank account which his wages were paid into, others relate to failing to notify a change in his circumstances when he was hired by the BBC."
She told the court that his BBC wages varied from year to year.
Miss McNamara said that in 2008 he was paid more than £16,000 by the BBC and between July 2009 to March 2012 he received more than £15,000.
He then received a further £18,000 for work done between July 2010 and January 2011 and more than £6,000 for work done between May and December 2011.
Miss McNamara said he had been overpaid £24,077.60 in housing and council tax benefit that he would not have been entitled to if he declared his BBC work.
A spokesman for Dorset police said: "We can confirm that an arrest warrant has been issued for Mr Penteado over allegations of benefit fraud.
"It will go to our warrants' department as a normal investigation so we can try and serve it as soon as possible. We will obviously look to try and find out where he is."
According to the BBC website, Portuguese-born Penteado started working with Mr Allwright in 2001 and has been an integral part of Rogue Traders and Watchdog since then.
In the last series of Rogue Traders, he and Allwright confronted eight business owners they felt were ripping-off the public across the UK.
When he is not working on Rogue Traders he works as a private investigator in the UK and abroad.