The plane that was taking Emiliano Sala from Nantes to Cardiff is believed to belong to football agent Willie McKay.
Sala is not represented by McKay but was understood to be involved in brokering the deal. He did not provide a comment to The Times.
The striker signed for the Welsh side in a £15million record transfer on Saturday and was flying to South Wales on Monday evening to join up with his new team-mates.
But the plane lost contact around 8.30pm and there has been no sign of it since.
The plane, with registration number N264DB, is a Piper PA-46 Malibu, single-engine, six-seater aircraft.
But it was just Sala and the pilot making the journey from France.