The 28-year-old Adelaide man was with a group of divers off Goldsmith Beach on the Yorke Peninsula who told investigators they saw the shark attack him.
People in the area were ordered to stay out of the water while a helicopter carried out a search, the Australian Broadcasting Corp. said.
Residents of the area told reporters a great white shark had been lurking around the beach in recent days.
The Western Australia government last month authorized a culling program to reduce the shark populations in the region. The policy -- allowing the taking of great white, bull and tiger sharks larger than 10 feet -- has been criticized as having little effect on the safety of swimmers, Sky News said.