His wife reported Gray missing over the weekend.
Police were also checking a report that Gray may have been planning a ski trip to Colorado.
A head-on car crash during a 2001 vacation in Ireland left Gray disheartened and in poor health, and he tried jumping from a bridge near his Long Island home in October 2002.
New York City police offered no details on the search for Gray, who also appeared on Broadway and in films including "Beaches" (1988) and "Kate and Leopold" (2001). In the 1993 Steven Soderbergh film "King of the Hill," Gray plays an eccentric bachelor who kills himself.
Gray won an Obie for his one-man show "Swimming to Cambodia," based in part on his work on the film "The Killing Fields." The monologue was later turned into a movie.
Born in Barrington, R.I., Gray started his career at theater companies in Boston. He also cofounded the experimental Wooster Group theater, and appeared in a Tony-winning revival of "Our Town."
In his monologue "It's a Slippery Slope," Gray tells the audience he had to overcome depression associated with his turning 52 -- the age his mother was when she killed herself.
It also weaves in memories of boarding school and college days in New England, life in New York City, and learning to ski.
"When I'm doing my monologue, I'm in my element," he said in 1997. "I am most me when I'm on stage."
