Halladay's ICON A5 plane went down just after noon in the Gulf of Mexico near Tampa, Florida, on Tuesday.
The sheriff's office received a 911 call at 12:06 p.m. ET to report the plane had crashed.
Investigators say they have not found a flight plan so they don't know how many people were on the plane.
He pitched for the Toronto Blue Jays from 1998 to 2009 and played with the Philadelphia Phillies from 2010-2013. He twice won the Cy Young Award voted to the top pitcher in each league and finished in the top five in voting five other times.
The Philadelphia Phillies said the team was "numb" over the news.
Halladay is survived by his wife Brandy and their have two sons, Ryan and Braden. "He loved to fly". That Oct. 6, against Cincinnati in the NL Division Series, he became only the second pitcher to throw a post-season no-hitter, joining Don Larsen, who accomplished the feat for the New York Yankees in the 1956 World Series.More news: FSU Fraternity Suspended After Student Dies at Off-Campus Party
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Halladay, 40, pitched for the Toronto Blue Jays and Philadelphia Phillies before retiring in 2013. Halladay announced his retirement from baseball at the Winter Meetings four years ago, following two injury-ravaged years with the Phillies.
Deputies would not confirm what kind of aircraft it was, only calling it a "small plane".
Halladay was a former eight-time All-Star and two-time Cy Young Award victor.
"In shock over the bad news about Roy Halladay...a pitcher I grew up admiring & rooting for".
"He was one in a million", said Nocco, the sheriff, who was a friend of Halladay's.
Halladay pitched a flawless game for the Phillies at the Florida Marlins on May 29, 2010. He was the only victim in the crash.
Halladay was one of the best pitchers of his generation with credentials that will likely lead to owning a plaque at the National Baseball Hall of Fame in the near future.