The festival is offering a $10,000 reward plus four Coachella tickets for life for the safe return of the pig, according to spokeswoman Marcee Rondan.
As tall as a two-story house and as wide as two school buses, the pig was led from lines held on the ground Sunday as Waters played a version of Pink Floyd's "Pigs" from the 1977 album "Animals." Then it just floated away.
"It wasn't really supposed to happen that way. I don't have the details," Rondan told The Associated Press.
As for safety concerns, Rondan speculated, "Because it's inflatable, as it loses air it becomes less and less dangerous."
She did not know how much it weighed.
As of Tuesday, Rondan said, the festival had not been able to contact Waters, the Pink Floyd co-founder and songwriting mastermind behind albums such as "Animals" and "The Dark Side of the Moon."
The pig displays the words "Don't be led to the slaughter" and a cartoon of Uncle Sam holding two bloody cleavers. The other side reads "Fear builds walls" and the underside reads "Obama" with a checked ballot box for U.S. Democratic presidential hopeful Barack Obama.
Rogers, who told the crowd "that's my pig" as it drifted off into the night, closed out the three-day festival.
Pink Floyd shows have used blowup pigs throughout the years. Rondan called Sunday's "the same prototype" as past pigs.
"People are putting search teams together to find this pig," Rondan said. "But it may float in the night sky, never to be seen again."