Francis Boucher was serving a 117-day sentence for having uttered death threats against police officers. The sentence was to finish at the end of May.
Boucher, 39, walked out of Montreal's Bordeaux at about 11 a.m.
Quebec Public Security Minister Lise Theriault called the incident "inexcusable."
"Our priority now is to find this individual as quickly as possible," Theriault said in a statement.
"Rest assured we are doing everything we can."
Boucher, a former member of the Rockers, a Hells affiliate, was previously sentenced to 10 years for gangsterism, conspiracy to commit murder and drug-trafficking.