"We're hoping everyone's in a life raft," Coast Guard Senior Chief Petty Officer Mike O'Berry said.
The rig continued to burn some 24 hours after the explosion, and authorities could not say when the flames might die out.
A column of boiling black smoke rose hundreds of metres over the Gulf of Mexico as fireboats shot streams of water at the blaze.
The rig was tilting as much as 10 degrees after the blast, but earlier fears that it might topple over appeared unfounded.
The blast could prove to be one of the nation's deadliest offshore drilling accidents of the past half-century.
|The rig owner said Deepwater Horizon is one of the world's more advanced oil platforms [EPA]
Transocean Ltd, the rig owner, is investigating the cause of the blast.
Adrian Rose, the company's vice-president, said the explosion appeared to be a blowout, in which natural gas or oil forces its way up a well pipe and smashes the equipment.
He said the crew had drilled the well to its final depth, more than 5,485 metres, and was cementing the steel casing at the time of the explosion.
"They did not have a lot of time to evacuate. This would have happened very rapidly," said Rose.
Coastguard environmental teams were also on standby, fearing a different disaster, though officials said the threat of an oil spill appeared minimal so far.
Greg Panagos, a Transocean spokesman, said the rig was under contract to the oil giant BP and was doing exploratory drilling but was not in production.
Last September, the Deepwater Horizon set a world deepwater record when it drilled down just over 10,668 metres at another BP site in the Gulf of Mexico, Panagos said.
"It's one of the more advanced rigs out there," he said.
Transocean has 14 rigs in the Gulf of Mexico and 140 worldwide.
Ted Bourgoyne, a retired professor of petroleum engineering at Louisiana State University, said the explosion may have been caused by natural gas or a mixture of oil and gas coming up through the well, combined with some kind of ignition source.
"In almost all of these things, there's not one thing that happens; it's a series of things," he told The Associated Press.
Since 2001, there have been 69 offshore deaths, 1,349 injuries and 858 fires and explosions in the Gulf, according to the US Minerals Management Service.
There are 42 rigs employing an estimated 35,0000 people either drilling or doing upgrades and maintenance in depths of over 305 metres or greater in the Gulf of Mexico, according to the agency.
In 1964 an explosion on a drilling barge operated by Pan American Petroleum Corp near Eugene Island, about 130 km off Louisiana, killed 21 crew members.
The deadliest offshore drilling accident took place in 1988, when the Piper Alpha platform about 193 km off Aberdeen in Scotland, was rocked by explosions and a fierce fire.
A total of 167 men were killed.