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Athletes from the country are not allowed to mingle with 'foreigners'. Even at the Games Village, they are not allowed to hang around with sportspersons from other countries. There are strict dress codes in place as well.
Korean Central News Agency did not mention the size of the team or athletes' travel routes.
South Korean military said it was on high alert and coordinating closely with the United States.
The top South Korean, US and Japanese nuclear envoys met in Seoul on Friday in their first gathering in four months to discuss how to cope with North Korea's growing nuclear arsenal.
South Korea's President Yoon Suk-yeol, during phone calls with military chiefs, called for "solid mental readiness and practical training" to ensure any North Korean provocations will be met with retaliation, according to a statement from his office.
The North's missile launch comes just days after the country tested a high-thrust solid-fuel engine that experts said would allow quicker and more mobile launch of ballistic missiles, as it seeks to develop a new strategic weapon and speed up its nuclear and missile programmes.
North Korea also on Monday fired around 130 artillery rounds into waters near the buffer zones with South Korea, while accusing the South of raising unnecessary tension in front-line areas.
The isolated country tested the Hwasong-17 ICBM on Friday a day after warning of "fiercer military responses" to Washington beefing up its regional security presence including nuclear assets.
Despite an initial government warning that a missile had overflown Japan, Tokyo later said that was incorrect.
It was the first time a ballistic missile had landed near the South's waters since the peninsula was divided in 1945, and the most missiles fired by the North in a single day.