James in an Instagram post says the 6-year-old French bulldog named Coco went missing in the Newport, Rhode Island area last Tuesday.
In a previous post James had offered a $2,000 reward for the return of his dog "no questions asked."
He said in that post Coco "only has eyes for me and won't want to stay with anyone else."
James, founder of West Coast Choppers motorcycle customizing business, was the star of "Jesse James is a Dead Man" on Spike TV and "Monster Garage" on the Discovery Channel.
He says there have been reported sightings of the dog but none have panned out.