The twin-engine Cessna 414 crashed about 12.30pm on Sunday, not long after it took off, the Federal Aviation Administration said.
The plane was bound for Phoenix, according to the flight tracking website Flightaware.com.
Searchers found a debris field later on Sunday about 8km off the coast of Point Loma, a San Diego neighbourhood that juts into the Pacific, US Coast Guard officials said.
The water in the search area is about 60 metres deep.
The Coast Guard said in its initial news release on Sunday that it was searching for the six people on board, whom it did not identify.
A man who was out surfing when the plane crashed told NBC 7 in San Diego that he saw the plane come down at an angle, then climb back into the clouds before diving again and crashing into the water.
"The next time he came out of the clouds, he went straight into the water. But after I saw this splash, about six seconds later, it was dead silent. I knew that they went in the water, nose first, at a high speed," Tyson Wislofsky said.
The crash comes less than three weeks after a small Cessna crashed into a San Diego neighbourhood in foggy weather and killed six people.
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