The man fled from the St Vincent Leisure Club in Gosport, Hampshire, early on Thursday as police arrived after reports of a break-in.
Officers chased the shadowy figure until he dived headlong into a creek leading out into the sea. They managed to keep him in their sights for 20 minutes as he struggled in the chilly water but then he disappeared. A Ministry of Defence launch joined the search, but there was no trace of him.
A police spokesman said yesterday: 'There is a slim chance that he got safely to shore. But because of sub-zero temperatures the water would have been very cold. And after spending that length of time in the water it is more likely that he was overcome by the cold.'