Five boys from Ulhasnagar and Ambernath had gone to the Barraze dam at Badlapur for a swim, a senior police official said.
While swimming, two of them -- Vinayak Velkar and Siddesh Padve (both 17) went inside the water and are feared drowned, he said, adding the other three swam back to safety.
The search operation by police and local fire brigade personnel was conducted till late night but their bodies were so far not found, the official said.
Police said the search operation will resume tomorrow.