Debris littered the sea off the northwestern city of Quebradillas, where witnesses reported an explosion as the single-engine plane went down Sunday evening, Coast Guard spokesman Ricardo Castrodad said.
"We're still searching," Castrodad said. "It is a very tough case based on the reports we have received of the aircraft possibly having an explosion in the air."
The pilot and all five passengers were identified as U.S. citizens, Castrodad said.
Authorities were arranging to recover two bodies spotted in the ocean, said Heriberto Sauri, director of the U.S. territory's emergency management agency.
The privately owned Cessna 206 was flying from La Romana, Dominican Republic, to San Juan, according to Luis Luhring, president of the plane's charter company, Tropical Aviation Corp.
Among the passengers was Ralph Christiansen, an executive at the Puerto Rican insurance broker Marsh Saldana Inc., according to company-designated spokesman Luis Rodriguez. He said Christiansen had traveled to the Dominican Republic for business.
Officials said they were still confirming the identities of the others aboard the plane.
Witnesses reported hearing the sound of an engine struggling and seeing an explosion before the plane crashed about a half-mile off shore, police spokeswoman Jessica Cardona said.
Rescue crews have reported seeing oil slicks and pieces of the plane's fuselage near the coast, Sauri said.