A formal reaction might be:
Where could he be?
But a more normal reaction would probably be, as someone else has already answered,
Where has he gone?
If you're speaking English as a second language the best explanation for using the present perfect here is that it's a recent past action whose effects are being noticed now, i.e. he left a while ago and now I can't find him.
"Where is he going?" could conceivably make sense if you are particularly interested in the place he's heading to. It suggests you have an inkling where he might be going.
"Where will he go?" seems to suggest you're not sure where he's going. This might be more usual in the case of a lost, defenceless child ("Where will he go? What will he do?")
These are all subjective interpretations, though.