Orlando Ortega, 22, disappeared last week after he failed to qualify for the final of the 110-meter hurdles at the world championships, RIA Novosti reported.
"Ortega has abandoned the island's delegation," the deporcuba.com website reported Wednesday.
International sports competitions have been used by athletes seeking to defect from their home countries, RIA Novosti said.
Valentin Balakhnichev, the head of the All-Russian Athletics Federation, said Thursday he was not interested in trying to naturalize Ortega so he could compete for Russia.
On Friday, the Russian Federal Migration Service spokesman told R-Sport it had no information on Ortega's whereabouts.