Frolov has no family in the area, and he went to Perris Valley Skydiving alone last week.
Authorities said they do not know if the skydiver crashed to the ground or if he landed safely and simply walked away.
Frolov was last seen Sept. 25 when he jumped. His car was still at the airport Thursday with his passport inside. Workers at the airport noticed Frolov's car and reported him missing to the sheriff's department.
The Riverside County Sheriff's Department set up a command post around 7 a.m. Friday, just outside the Perris Valley Airport.
The search is focused on a wooded area about a mile south of the airport. Officers mounted on horseback and rescue helicopters are involved in the search.
Authorities called the skydiver's family in Russia, but no one has heard from him.
The manager at the airport said that most jumps take place from just under 13,000 feet. From there, it's a one-minute free fall. When a skydiver opens the chute, it's another five or six minutes before they come to the ground.