One male Nepalese sepak takraw competitor failed to show up when his team flew home from Incheon on Wednesday. Two wushu players crept out of the athletes' village early Thursday.
Closed circuit TV footage showed the two wushu players walking out of the village in the dark with their bags. The rest of the Nepalese wushu team returned home on Thursday.
"We suspect that all three disappeared to get jobs here as illegals," a senior inspector at Incheon police told AFP.
"We have asked Nepalese workers and local companies hiring immigrant workers to help find the three," he said.
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Athletes from Southeast and South Asian countries often flee sports events in South Korea and other major Asian economies to become illegals.
Sixteen athletes from those countries vanished during the 2002 Busan Asian Games.
Every year South Korea issues visas for tens of thousands of foreign workers from Vietnam, the Philippines and other Asian countries to help ease manpower shortages.