David Rene Roger Bellet-Brissaud, 48, who lives in Gabon, was seen on camera footage leaving the hotel in Port Elizabeth alone at about 01:00 am (23:00 GMT) on Friday.
“He came out of his room, went down the elevator of the hotel building and walked onto the street,” police spokeswoman Priscilla Naidu told AFP.
His wife Lydia Bellet-Brissaud woke up later and noticed that he was not in their room and had not taken his mobile phone.
He had been “excited but also stressed,” about the race, she told reporters at a press conference in Port Elizabeth on Monday.
It was his first trip to the coastal city, and he was wearing a hooded top, jeans and trainers, police said.
His brother and sister flew in on Sunday, and the family is offering a 12,000 rand ($1,000) reward for any information on his whereabouts.
Police have deployed helicopters, sniffer dogs and divers to search the area, and asked businesses along the seafront to check camera footage.
Bellet-Brissaud was due to have participated in the Iron Man Africa championship on Sunday.