The Cessna plane departed from Dinan, near Rennes in western France. It was bound for Jersey and the victims are thought to be British residents, police said.
The mid-morning crash sparked a major air and sea search operation involving helicopters from France and Britain as well as a British navy vessel that was in the area.
"Following a comprehensive search and rescue mission... we now believe there were no survivors of this morning's light aircraft crash," the police statement said.
"The States of Jersey Police will now be working alongside the Air Accident Investigation Branch (AAIB) to establish what happened."
Earlier, a spokesman for the Port of Jersey authority told AFP the plane had crashed into the sea about five miles (eight kilometres) west of Jersey at 10.20 am (0920 GMT).
"Some wreckage has been located," he said, adding: "There was a lot of sea fog along the immediate coastal shore this morning, but we don't know if that was the issue."
Tragically, Wednesday's isn't the first fatal crash in recent weeks to involve a light aircraft travelling from or within France.
In August, The Local reported how an elderly brother and sister were among three people killed when a tourist plane crashed into a field in Puy-de-Dome in central France.
Just a week earlier, two men were killed instantly when the Cirrus SR20 single-engine aircraft they were travelling in crashed in the Loire region of central France.