Rising concerns about privacy and anonymity preservation of deep learning models have facilitated research in data-free learning. Primarily based on data-free knowledge distillation, models developed in this area so far have only been able to operate in a single modality, performing the same kind of task as that of the teacher. For the first time, we propose Data-Free Sketch-Based Image Retrieval (DF-SBIR), a cross-modal data-free learning setting, where teachers trained for classification in a single modality have to be leveraged by students to learn a cross-modal metric-space for retrieval. The widespread availability of pre-trained classification models, along with the difficulty in acquiring paired photo-sketch datasets for SBIR justify the practicality of this setting. We present a methodology for DF-SBIR, which can leverage knowledge from models independently trained to perform classification on photos and sketches. We evaluate our model on the Sketchy, TU-Berlin, and QuickDraw benchmarks, designing a variety of baselines based on existing data-free learning literature, and observe that our method surpasses all of them by significant margins. Our method also achieves mAPs competitive with data-dependent approaches, all the while requiring no training data. Implementation is available at https://github.com/abhrac/data-free-sbir.