The plane was registered to Rochester, New York, real estate developer Larry Glazer. He and his wife Jane were the only people on board, their son, Ken, said.
Jamaican Defence Force dive teams have found a wreckage field in the water near where the plane went down, about 14 miles off the coast of Port Antonio, the military said; the U.S. Coast Guard has also launched a mission to the area.
The plane, a six-seater Socata model TBM-700, took off just before 8:30 a.m. ET from Rochester and was headed for Naples, Florida.
The pilot radioed air traffic control while at 28,000 feet saying he had some type of problem and wanted permission to get down to 18,000 feet.
"We need to descend," the pilot told controllers, according to audio collected by LiveATC.net. "We have an indication that is not correct on the plane."
The controller gave permission to fly at 25,000 feet — but the pilot said that wasn't enough. "We need to get lower," the pilot said.
Subsequently, the controller gave permission for the plane to descend to 20,000 feet but the pilot didn't respond, U.S. officials told NBC News. The aircraft didn't answer further calls.
Fighter jets were dispatched and chased the plane but broke off the trail after it entered Cuban airspace. The F-15s then "circled around" with plans to resume the chase as the small plane exited Cuba's territorial waters, officials said.
The military jets had to return to base because they were running out of fuel, and in that time, the plane crashed.
Larry Glazer, founder of Buckingham Properties, is a veteran pilot who is president of the TBM Owners and Pilots Association.
In the spring edition of the association newsletter, he wrote about buying his first TBM in 1993 and just taking delivery of a new one, with the blessing of his wife.
"I asked her if she would like a new winter home down south or a new TBM. Without hesitation she said, 'What the heck, just buy the plane...' he wrote. "That is all it took. Jane has been flying my TBM for the last 15 years, and she is so excited about the prospect of flying a new plane. She never hesitated or blinked. Now that is a keeper of a wife. Sorry trade-ins not accepted."