The £15million striker put pen to paper with Cardiff City at the weekend and was understood to be seen going through border control in Nantes amid unconfirmed suggestions that he did board he missing chartered jet.
A search operation is under way for the Piper Malibu aircraft.
HM Coastguard said the disappearance was not in the UK search and rescue area, but it had sent two helicopters to help.
A spokeswoman said they were assisting Guernsey Coastguard with a search for a light aircraft off Alderney: “HM Coastguard helicopters from Solent and Newquay have been helping to search overnight with nothing found.”
Reports suggest 28-year-old Argentina star Sala returned to France after completing his move and was due to report for training in Cardiff today.
Speaking on Saturday after signing for the Bluebirds, Sala said: “I can’t wait to start training, meet my new team-mates and get down to work.”
Before switching to Cardiff, Sala was the third highest scorer in Ligue 1 this season with 12 goals, behind only Kylian Mbappe and Nicolas Pepe.
He said at the time: “For me it feels special [to be the Club’s record signing]. I have come here wanting to work and to help my teammates and the Club. I can’t wait to get to work straight away and do everything I can.”
Cardiff City said it was “seeking clarification” as to what happened.
Cardiff Airport confirmed the aircraft was due to arrive from Nantes but a spokeswoman said there were no further details.