Air Traffic Control has confirmed the aircraft was travelling from Nantes in western France to Cardiff when it went missing.
Cardiff has since confirmed with Sky News that they are seeking clarification over reports that Sala was on a light aircraft that disappeared from radar in the English Channel last night.
Concerns were raised when the 28-year-old, who joined the Welsh club from Ligue 1 side Nantes on Saturday for a club-record £15.3m transfer fee, failed to respond to messages on social media.
— Emiliano Sala (@EmilianoSala1) January 19, 2019
It's been claimed in French media that he was travelling on Monday to the UK.
In a statement, Guernsey Police said: "Guernsey Coastguard received an alert at 20:23 from Jersey ATC, that a light aircraft had gone off their radar approximately 15 miles north of Guernsey, initiating a major search and rescue operation involving both St Peter Port and Alderney lifeboats. Air Search 1 and 2 HM Coastguard helicopters are also involved in the search.
"The PA 46 Malibu, a single turbine engine aircraft was on route from Nantes in France, to Cardiff in Wales, with two people on board when it was lost off radar as Jersey ATC was attempting to make contact.
"A search model was created on SARIS, based on the likely ditching position, and all search and rescue assets were tasked to the area.
"The search was terminated at 02:00, with all search and rescue assets being stood down, due to strengthening winds, worsening sea conditions and reducing visibility.
"At this time no trace of the missing aircraft had been found.
"The aircraft departed Nantes at 1915 for Cardiff. The aircraft was flying at 5000 feet. The aircraft on passing Guernsey requested descent. Jersey ATC lost contact whilst it was flying at 2300 feet.
"Air Search 1 and a French rescue helicopter based in Cherbourg, resumed the search of the area at 08:00."
— Cardiff City FC (@CardiffCityFC) January 19, 2019