Vajpayee, accompanied by his family members, went to the Taj Exotica beach resort at Benaulim in south Goa. He will stay there for four days and return to Delhi on January 1 after celebrating New Year.
Security in the state has been tightened with about 800 personnel of the Rapid Action Force deployed there in addition to the state police. Indian Navy, Coast Guard and Goa Marine Police are also on the alert.
Earlier, intelligence reports from Israel had indicated the possibility of a terrorist attack in Goa around the New Year.
Vajpayee was unable to celebrate the last few New Years with the hijacking of the Indian Airlines aircraft to Kandahar in 1999, terrorist attack on Red Fort in 2000, and the attack on Parliament in 2001 keeping him occupied.