The 30-year-old man was training on a 23-foot-long sailboat near Larchmont when the squall hit at about 3:30 p.m. Sunday.
Coast Guard petty officer Seth Johnson said Monday there were four people on board. Two men fell over; one was able to get back on.
The Coast Guard is being assisted in its search Monday by Westchester County police.
An instructor saw the man fall into the water and threw a flotation device to him, but he disappeared. He was not wearing a life jacket.
The man's name was not immediately released.
