He was believed to be on board the plane.
Earlier, a Wagner-linked Telegram channel Grey Zone reported that the jet was shot down by air defences in Tver region, north of Moscow.
Prigozhin led a failed mutiny against the Russian armed forces in June.
Grey Zone said local residents heard two bangs before the crash and saw two vapour trails.
Tass news agency said the plane caught fire on hitting the ground, adding that four bodies had already been found.
The aircraft had been in the air for less than half an hour, it said.