A special UN-backed court in the CAR's capital Bangui said last month it had issued an arrest warrant for Bozize as part of a probe into possible "crimes against humanity" committed by his presidential guard between 2009 and 2013 at a civilian prison and a military training facility.
Bozize, 77, seized power in the CAR in a 2003 coup before being overthrown 10 years later.
He now heads the country's main rebellion and has been in exile in Guinea-Bissau since March 2023.
"I'm not going to extradite him because there is no agreement between our two countries to that effect. Unless Bozize himself decides to go elsewhere," Embalo said late Tuesday, ahead of a trip to Moscow.
"I was really surprised by the arrest warrant issued against him by the Central African authorities. It's not what I expected, because it's not what (Central African) President (Faustin Archange) Touadera and I said," he told journalists.
The alleged crimes include murder, enforced disappearance, torture, rape and other inhumane acts, according to the Special Criminal Court (CPS), a hybrid jurisdiction located in Bangui with Central African and foreign magistrates.
The international warrant was issued on February 27, according to the CPS, which was set up in 2015 with UN sponsorship.
The court is in charge of investigating war crimes committed since 2003 in the country, which has endured civil wars and authoritarian regimes since independence from France in 1960.
Bozize was sentenced in absentia in September to forced labor for life for conspiracy, rebellion and murder.