The police duty officer in the Sabunchi region north of the capital, Baku, said the plane's wreckage was found along the shore. He declined to give his name because he was not authorized to act as a spokesman.
The plane disappeared from radar shortly after takeoff from Baku's airport en route to Aktau, Kazakhstan, on the other side of the Caspian, two airport employees told The Associated Press. Both said there were 18 passengers aboard and one said there were also five crew members.
The plane was identified as an An-140, a twin-engine turboprop.
Both Baku and Aktau are centers of the thriving Caspian Sea oil industry, which has attracted substantial foreign investment. There was no immediate indication whether any Westerners were aboard the plane.