Authorities found the plane, but officials said they could not get the pilot to respond.
The pilots of the fighter jets said they could only see one person on board -- the pilot.
Mexican authorities, the US Coast Guard and the State Department are now in charge of the investigation.
The plane is registered to Abide Aviation LLC out of Edmond, Oklahoma.
The aircraft is a Cirrus SR-22, which is usually equipped with a parachute system that requires someone to pull a lever in the event of an emergency.