The occupants of the Daytona Beach, Fla.-bound Beechcraft Bonanza BE36 were believed to be a Central Florida couple, Alan and Kathleen Van Nimwegen, the Orlando (Fla.) Sentinel reported.
A Coast Guard spokeswoman said the search for the plane and its passengers was taking place about 15 miles northeast of Great Harbour Cay, which is north of Nassau.
The Federal Aviation Administration lost contact with the plane, which had departed from Marsh Harbour International Airport in the Bahamas, about 9 a.m. Monday, FAA spokeswoman Kathleen Bergen said.
The Van Nimwegens, both licensed pilots, live at the Spruce Creek fly-in community in Port Orange, which has its own airport.
The couple owns Seminole Paint and Body, where an employee said a relative of the Van Nimwegens was preparing a statement and would release it Tuesday.
The government of the Bahamas requested help from the Coast Guard Monday, Central Florida 13 News reported.