Mr McMenemy is the only one left unaccounted for after fellow hostage Peter Moore was released alive last week.
He was part of a security detail for the computer expert when they were seized by militants posing as police at the Iraqi finance ministry in May 2007.
The bodies of the others - Alec MacLachlan, Jason Swindlehurst and Jason Creswell - were returned to the British embassy.
Meanwhile, Mr Moore has said he was 'delighted' to have been freed from captivity in Iraq and was looking forward to 'getting to know' his family again.
Mr Moore was released on Wednesday, 946 days after he was kidnapped in Iraq, and returned to Britain on Friday.
It has been widely reported that Mr Moore, from Lincoln, and his four bodyguards were taken over the border into Iran following their kidnap where they were held by the country's Revolutionary Guard.
However, British Prime Minister Gordon Brown, speaking on BBC1's Andrew Marr Show, today insisted there was no 'direct evidence' that Mr Moore was held inside Iran.
The Prime Minister said he had spoken to Mr Moore following his release but the pair had not discussed where he had been held.
