The defence ministry said its Tu-154 aircraft had 91 people onboard, including service personnel, a military music band and reporters.
The plane disappeared from radar 20 minutes after taking off from Sochi’s Adler airport at 05:20 (02:20 GMT).
Unconfirmed reports said it was flying to Syria’s Latakia province.
The aircraft went missing as it was manoeuvring over Russia’s territorial waters, a source at the emergency ministry was quoted as saying by Russian news agencies.
A search operation was now under way, Russia’s state-run Rossiya24 TV channel said.