Several officials of Khaleda's Gulshan office said Shamim, accompanied by several relatives, flew off from Dhaka on Saturday night.
Coco, on a six-year prison sentence for smuggling money out of the country, died of cardiac seizure on Saturday on way to a hospital in Malaysia.
The funeral of the 45-year old Coco, youngest son of Khaleda, will be held at Kuala Lumpur's Masjid Negara on Sunday after Zuhr prayers.
The BNP has not made any formal announcement on bringing back his body. But several party leaders said a coffin carrying Coco's body might arrive in Dhaka on Monday.
Coco was arrested along with his mother in 2007 during the military-run caretaker government. He went to Thailand after being released on parole the next year for treatment but later moved to Malaysia.
He was tried in a money laundering case and convicted in absentia.
The BNP alleged the case aimed to settle political scores even as the government said it had no such intentions.
The youngest son of Bangladesh's military dictator Gen Ziaur Rahman and former prime minister Khaleda chose to stay off politics unlike his elder brother Tarique Rahman.
But he was passionate about sports and when his mother was Prime Minister between 2001-06, Coco was made an advisor to the Bangladesh Cricket Board in 2001.
He allegedly ran the show after taking over as chairperson of the BCB's Development Committee.