The incident occurred when around 2,000 Sikh pilgrims, including 1,717 Indians, visited Pakistan on a 10-day trip to celebrate Baisakhi festival.
It is the first-ever incident of its kind and had shocked authorities in Pakistan, the Express Tribune reported.
The Evacuee Trust Property Board (ETPB) - a government body responsible for arranging accommodation and security for Sikh pilgrims as well as ensuring their safe return - confirmed that the family of four has gone missing.
Together with the Pakistan Sikh Gurdwara Prabandhak Committee, the ETPB facilitates Sikh pilgrims visiting Pakistan on their religious festivals.
The missing people have been identified as 38-year-old Sunil Singh, his wife Sunita, 27, and their children, nine-year-old daughter Huma Kaur and 10-year-old son Umer Singh.
Harpal Singh Bhullar, president of the Bhai Mardana Yadgari Kirtan Darbar Society (BMYKDS), said this year the Pakistani government had issued 170 visas to the organisation.