Phillip Patnaude, 28, was last seen in the early hours of Sunday after a night out on the North Side.
The missing man's jacket was found Sunday near the lake.
After a Friday night out with friends, Patnaude decided to catch at cab near Wellington and Broadway. Instead of going home to his North Side apartment, he went to check out the lake.
"He is a nature enthusiast, loves being outdoors and really appreciates the esthetics of the beauty, while he doesn't go to the lake all the time, it's not outrageous," said his sister, Colette.
Patnaude's sister said when her brother did not return, a large search party of family and friends was organized by Saturday afternoon. The search continued at Belmot Harbor.
"One of our search parties found a jacket," she said."We had scuba divers come and we are told it is a very a hopeful sign."
After Patnaude's jacket was found, divers spent all afternoon looking in the cold water. Police said the conditions are not good.
The visibility is about five feet and the water temperature is in the mid 30's.
Divers will resume their search Monday with help from the Coast Guard.
Patnaude is 6-foot-1 and 175-pounds with blond hair and blue eyes. He was last seen wearing a black ski jacket, a dark purple button down shirt, blue jeans and black shoes.
Patnaude is a 2006 graduate of the University of Illinois at Champaign. He is engaged with an October wedding planned.