State Police Lt. Eric Garcia said witnesses saw the plane go down in Heron Lake about 10:30 a.m., the Albuquerque Journal reported. Police found the packages of drugs floating in the vicinity of where the plane crashed, he said.
State police said the packages contained several kilos of cocaine, Albuquerque's KOB-TV reported.
Divers were at the lake trying to reach the sunken wreckage of the single-engine plane to try to determine how many people had been on board, the TV station said.
Lake Heron is about 20 miles south of Chama in northern New Mexico.