The twin-engine T-39 Sabreliners went down about 40 miles south of Pensacola.
Three people were on one plane, four on the other. Among the victims were two civilians and a Royal Saudi Air Force officer.
"We conducted an exhaustive search of the area, which is about the size of the state of Delaware - 2,000 square miles," said Coast Guard Petty Officer 2nd Class Mark Mackowiak. "The debris that we recovered was small in size."
Harry White, a spokesman at Pensacola Naval Air Station where the planes were based, was unable to confirm whether the jets had collided.
"They suddenly disappeared from our radar," White said. "There was no distress call."
The jets are used for training navigators and other non-pilot air crew officers for the Navy, Marine Corps, Air Force and foreign military services. The planes were assigned to Training Squadron 86, part of Training Air Wing 6.
The squadron had amassed more than 330,000 mishap-free flight hours over 25 years, according to its Web site. Its foreign students also include trainees from Italy, Singapore and Germany.
The pilots of both planes - Homer Hutchinson III, a retired Marine from Pensacola, and Marshall Herr, a retired naval officer from nearby Pace - were civilians employed by Raytheon Aerospace LLC Corp.
The Saudi officer was identified as Maj. Ambarak S. Al-Ghamdi, a navigation instructor. Neither his nor the pilots' ages were immediately available.
The other crew members were: Lt. Cmdr. William R. Muscha, 32, of Fargo, N.D.; Lt. Christopher T. Starkweather, 26, of Fort Atkinson, Wis.; Ensign James T. Logan, 26, of Woodland Hills, Calif.; and Marine Corps 2nd Lt. John N. Wilt, 23, of O'Fallon, Ill.
By Bill Kaczor