Simon Daw, 27, was last seen on Tuesday evening when he spent the evening in a nightclub with two friends. He had drunk some alcohol but not an excessive amount, a police source said.
Daw, a British soldier from Cardiff in Wales, has not since returned to his lodgings in the nearby village of Venosc.
A spokeswoman for the popular Deux Alpes resort on Friday told The Local that they were "very worried" for the man's well-being, adding that his whereabouts were still unknown.
On the night of his disappearance, Daw was wearing beige jeans, a grey hoodie, and trainers. He is of slender build, 1.80m in height (5' 10") and has short, blond hair, according to France 3 TV.
If you have any information on the whereabouts of Simon Daw, you can call 0476 80 58 57.