Hi Ashok... I can understand your worry.
Firstly, you need to register a complaint with the Gurgaon police stating that the company you were working with is missing without paying your dues. This can be done by you or through a lawyer/representative who shall take your written complaint to the relevant Gurgaon Police station and thus an FIR will be lodged by you against the company. Try to lodge the complaint in the right police station of Gurgaon (one which is the locality where your office was situated).
Also, mention in your complain that you are threatened not to approach the police. This will be a vital evidence for you to claim protection, if required in future.
Based on the FIR you can iniciate a case of forgery and chetting (fraud) on the company and claim you dues. You need to be sure that you have with you a valid work contract (agreement) from your past employer and it would be beneficial if you can show that you had received salary/wage from the company.
Hope you do get back your rightful dues in time.
RoyS