Family members of the 12 musicians and eight technicians said they lost contact with the group at approximately 2 a.m. Friday, El Universal reported Sunday.
Two trucks belonging to the group were still at the location of their performance Thursday night, Prensa Latina reported Saturday.
A government source, whose name was not reported, told El Universal several raids had been conducted on houses in the village where the band members were last seen in an attempt to find clues to their whereabouts.
Kombo Kolombia is a Colombian-style band, Prensa Latina reported. They often performed at El Sabino Gordo bar, where members of a drug cartel killed 21 people in July 2011.