Two life boats were launched after a man was reported entering the sea near South Pier, says the coastguard.
The RNLI life boats and coastguard rescue teams, together with the police helicopter, were tasked with a search at around 12.40am on June 21.
A spokesman for the coastguard said: "We received reports from the police about concerns for a man who was seen going into the water.
"We conducted a thorough search of the area but nobody was found.
"Police believe the man may have gone inland and and are continuing their search there."
The search was concluded at around 2am this morning.