The Somerset County Prosecutor's Office says Paige Aiello's parents called police after a passerby called them to say she found the woman's purse, cell phone and car keys on Tuesday evening.
Authorities searched the Hudson River and did not find anything.
"As soon as I heard that, I just heard it in dance class, my stomach dropped. You know, there's always hope, though. I hope somehow she is still out there," said student Natalie Steele.
The captain of the women's tennis team was last seen at her family's Hillsborough home on Tuesday afternoon.
The prosecutor's office says Aiello apparently took her mother's car without permission. The vehicle was found Tuesday evening in a New Brunswick parking garage, which is near a train station.
Aiello is a senior at TCNJ, which is located in Ewing.
Her father said Paige has a 3.8 grade point average and she's been accepted into nine law schools for the fall. But, despite her accomplishments, Chris Aiello says his high-achieving daughter has been terribly stressed lately, feeling that - somehow - she hasn't been measuring up.
"Parents have to be aware, even when they have children that excel in sports and school and so forth, that these kids have to be watched even more," Chris Aiello said.
When asked if he had a message for his daughter, he said "If she does hear this, that we love her and we want her to come home. That's it."
Thursday is her 22nd birthday.