A police officer is talking to a lady. He knows that she knows a guy he's looking for. For some time she lived at that guy's place, but now left it and moved to the hotel.

He asks her: You wouldn't have happened to have heard from him? Maybe he told you to take it underground?

I take it to mean: Is it possible that he didn't get in touch with you? Maybe he told you to hide yourself (that's why she changed her place of residence).

Is my interpretation pretty much correct?
Sounds about right. "Underground" is an idiom for hiding.
Thanks Vorpar!