We use the full available data sample, collected with the OPAL detector at several LEP centre-of-mass energies sqrt(s) ranging from 189 to 209 GeV, to search for lepton flavour violating events: e-mu, e-tau and mu-tau that might be directly produced in e+e- annihilations. Limits at 95% confidence level on the cross section sigma(e^+e^ -> e-mu, e-tau and mu-tau) are obtained as a function of sqrt(s) assuming isotropic angular distributions of the final states.