Police say the group, who left the community of Southend on Tuesday in two aluminum boats, was equipped for overnight camping and may have taken shelter on shore from the cold and wind.
"There's a lot of camps up there. So it's possible they might have gone to one of them to wait out the weather," said RCMP Staff Sgt. Randy Slawson.
Slawson said the three boys and two girls range in age from 13 to 17. They were going moose hunting, he said, and planned to be gone for a couple of days.
They didn't arrive back when they were supposed to, however, and police in Southend were notified late Thursday night.
RCMP say local residents, aircraft and police have all been searching for the youths, but weather conditions have been making things difficult.
Kevin Morin, a local councillor with the Peter Ballantyne Cree Nation, said there's snow and it's cold enough that the lake will soon freeze.
"We've got a lot of wind. Not too many can go out now — just the bigger boats," Morin said on Sunday afternoon about the search.
Slawson said he hoped to have more information on the search later on Sunday when darkness fell and searchers returned to Southend.
Reindeer Lake is Saskatchewan's second-largest lake, with a surface of over 6,650 square kilometres and numerous islands and bays.
The community of Southend is the terminus of Highway 102, which is the only road access to the lake.
ALSO ON HUFFPOST: