Blake, 36, who also exhibited his work at the Whitney Museum, reportedly was upset by his ex-girlfriend's recent suicide when he went to the beach July 17, the New York Daily News reported Monday.
New York police said the artist's wallet, clothing and a suicide note were found under the Rockaway boardwalk, adding that scuba teams were searching the water but had not yet found a body.
Friends who knew both Blake and his former girlfriend, filmmaker Theresa Duncan, 40, said Blake seemed to be coping with Duncan's death and was scheduled to appear at a memorial service for her Monday in Lapeer, Mich.
Duncan was found dead in her New York apartment recently with a bottle of pills and alcohol nearby.
2014: The Year in Music [PHOTOS]