Rescue workers found the burned wreckage of Ramon Martin Huerta's aircraft several hours after contact was lost early into the flight. All nine people on board died, Fox said in a televised address.
The Bell 412 chopper lost contact 10 minutes after taking off from a military base in the capital on the way to the La Palma high security prison that holds several of Mexico's most feared drug capos.
Dozens of troops searched a wooded hill in banks of cloud outside Mexico City. Televisa network and other Mexican media said the destroyed aircraft was sighted in a mountainous area.
"A burned helicopter was found," Televisa said. "It was located just before 6 in the afternoon," the station said.
Martin Huerta, a former governor of the central state of Guanajuato and a close friend of the president, is a top figure in a battle launched this year on drug-related crime on the US border and western Mexico, where violence has spiraled.
More than 1000 people have been killed this year as drug gangs fight over lucrative smuggling routes to the United States.