The Jamaican Defense Force said the plane went down about 14 miles north-east of Port Antonio.
Two F-15 fighter jets were launched from a US base to investigate the aircraft, after it veered from its flight path and was detected over the Caribbean.
The two people known to be on board have been named as Larry Glazer, a property developer from Rochester, New York, and his wife Jane. Larry Glazer was the CEO of Buckingham Properties.
Larry and Jane Glazer were both licensed pilots.
The plane’s pilot had indicated there was a problem and twice asked to descend to a lower altitude before permission was granted, according to a recording of the radio conversation with US traffic controllers.
Contact with the plane was lost a short time later.
Major Basil Jarrett of the Jamaican Defense Force told reporters that an oil slick had been spotted about 14 miles north-east of the coastal town of Port Antonio but there was no sign yet of any wreckage.
He said search and rescue teams were scouring the waters for possible survivors.
As darkness fell, Jamaica suspended the search until first light on September 6.
The plane, a Socata TBM-700 built in 2014, took off from Rochester at 08:26 en route to Naples, Florida.
The North American Aerospace Defense Command (NORAD) was alerted to the unresponsive plane about an hour into its flight and sent two fighter jets to monitor it.
A spokesman said it was not possible for the fighter pilots to see inside the plane as the windows were frosted or fogged over.
A tweet from NORAD suggested the pilot or pilots could have been be unresponsive due to “possible hypoxia” – oxygen deprivation.
On a recording made by LiveATC – a website that monitors air traffic control recordings – and quoted by the Associated Press, the pilot can be heard saying: “We need to descend to about (18,000 feet). We have an indication that’s not correct in the plane.”
A controller replies: “Stand by.”
After a pause, the controller tells the pilot to fly at 25,000ft.
“We need to get lower,” the pilot responded.
“Working on that,” the controller says.
Controllers then clear the plane to descend to 20,000ft and the pilot acknowledges the command.
Minutes later a controller asks the plane to identify itself. There is no response.
According to FlightAware, the plane never carried out the last descent to 20,000ft.
New York Governor Andrew Cuomo paid tribute to the couple.
“The Glazers were innovative and generous people who were committed to revitalising downtown Rochester,” he said.
The couple’s three children said in a statement they were “devastated”.
The US Federal Aviation Administration said it co-operated with Cuba air traffic control in monitoring the plane, despite the countries not having full diplomatic relations for more than half a century.
Cuba said it had authorized the US military to fly a C-130 cargo plane and two fighter jets over its airspace to investigate the incident.
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