The 46-year-old windsurfer set off from the Su Giudeu beach, in south-east Sardinia, at around 3.30pm yesterday afternoon.
His wife raised the alarm at around 6.00pm after he failed to return to the shore, L'Unione Sarda reported. The couple had travelled to Sardinia from their home in Lombardy, northern Italy, with their two children.
The coast guard immediately launched a search operation, involving helicopters, jet skis, a patrol boat and a rubber dingy.
But despite rescuers working through the night, on Thursday morning there was still no trace of the windsurfer.
The search will continue today between Capo Malfatano and Pula, L’Unione Sarda said.