We investigate the movement patterns of three different Neotropical marsupials in an unfamiliar and risky environment. Animals are released in a matrix from which they try to reach a patch of forest. Their movements, performed on a small spacial scale, are best approximated by Lévy flights. Patterns of oriented and non-oriented individuals - with forest patches within or beyond their perceptual range - differ only slightly in the value of their exponents. These facts suggest that, for these species, the appearance of Lévy flights is the product of animals innate behaviour that emerges spontaneously, as a neutral characteristic proper of a default movement mode for alerted animals.