The Games organizing committee said the male sepak takraw competitor did not appear on Wednesday when his team gathered to fly home from Incheon.
At the request of the Nepalese team, South Korean police investigated and found the man had left the athletes village in the night without telling anyone.
Organisers did not name the athlete but expressed regret at the incident. Police suspect he might seek to become an illegal migrant.
“Closed-circuit television in the village showed the man wearing a black suit, carrying a bag and leaving in the dark,” Incheon police senior inspector Kwon Wang-Hoon told AFP.
“We believe he might have disappeared to find a job here,” Kwon said, adding the case has been referred to immigration authorities.
“If he turns up before the expiration of his visa on October 19, he can go home without trouble. Otherwise he faces charges as an illegal immigrant,” Kwon said.
Every year South Korea issues visas for tens of thousands of foreign workers from Vietnam, the Philippines and other Asian countries to help ease a manpower shortage at small firms.
More than 200,000 foreign workers are also employed illegally in manufacturing, construction and other industries.
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