"The owner of the boat reported it missing on Saturday evening and we have begun a search and rescue mission," a spokesman from the agency told AFP.
In addition to the tourists, a skipper and two crew members were also on board when the boat sailed out on Saturday morning, the spokesman said, adding that weather conditions were bad on the day.
They were on their way to an island some 60 kilometres west of Kota Kinabalu, the capital of eastern Sabah state.