Rees Roger, from Fife, was last seen in the Kinloch Ranach area of Perthshire at 11.30pm on Saturday.
He was camped on the shores of Loch Rannoch.
Friends of the 28-year-old told officers they believed he was going to bed when he was last seen.
On Sunday morning, there was no sign of him.
Sergeant Lindsay Brown, from Blairgowrie Police Station, said: “We are extremely concerned for his safety as he is not dressed for the cold weather and is unfamiliar with the area.
“Searches and inquiries are ongoing to locate him as soon as possible to ensure he is safe and well.”
Mr Roger is described as 6ft tall, slim build with dark hair.
He was wearing a black T-shirt and black sweatpants.
Sgt Brown added: “I would urge anyone who has seen Rees or has any information about his whereabouts to contact the police. I would also ask anyone who lives in the area to check their outbuildings or sheds if he is hiding there.’
Any information should be reported to number 101 with reference to number 1348 of March 19.