The man, believed to be 64 years old, went missing about 16 miles south east of Portland while on a dive trip with the diving catamaran Skindeeper.
The skipper alerted coastguards shortly before 11:00 BST on Friday when the diver failed to surface.
The coastguard confirmed a "highly concentrated" search by lifeboats, a UK Border Agency vessel and a Fisheries Protection plane was unsuccessful.
Dorset Police are liaising with the diver's family.
