Divers from the U.S. Coast Guard and the Suffolk County Police Department's marine bureau responded to the Great South Bay pier, near a restaurant and parking lot where cars often stop so people can admire the boats.
Police were investigating how the car wound up in the water, which was shallow enough that the car's tires could be seen above the surface. They said it appeared to have been an accident.
"We don't know if they were parked and the car went forward," Suffolk County police Detective Sgt. William Rand said.
Police used a tow truck to pull the car out of the bay hours later and kept searching the water, but they said they didn't think anyone else had been in the car.
No one at the Captain Bill's restaurant saw the accident, owner Mike Korb said.
"The only thing everyone ever saw was the police cars," he said.
Police didn't immediately release the identities of the women because their relatives hadn't been notified.
