Shouldn't the search string be ¥([^¥]*)¥ instead of what you have? Yours is just looking for a single character between the Yen signs. I tried my regular expression, and it seems to work even when there are backslashes.
(On the other hand, there *does* seem to be some mysterious relationship between the Yen sign and the backslash: if I press option-Y in a Terminal window, I get a backslash instead.)
Robin