The search began after witnesses told police they saw a man with no forearms in wet clothes and believed he had gone back into Hoyt Lake, WIVB-TV, Buffalo, reported.
Officers brought in divers after finding shoes and clothes on the shore. An Erie County Sheriff's Office helicopter also was deployed to look for the man.
But about 1 1/2 hours later, authorities located the man at an art studio where he works.
The man, whose name wasn't reported, told police he was training for a marathon and decided to try swimming across Hoyt Lake. He said he found the 43-degree water too cold for him, so he got out and left his clothes on the shore. He said he wrapped himself in a sheet and walked to a department store to buy new, dry clothes.
It was not clear if the man will be charged, WIVB-TV said.
Couple mistakenly served bag of cash at McDonald's drive-thru
Beyonce flaunts bikini body, Blue Ivy in vacation pics