James Cutfield left the Sicilian capital on a private jet, an investigative source said, adding the destination of the flight was unknown.
Cutfield, a New Zealander, lives with his wife in Palma on the Spanish island of Mallorca.
Cutfield was put under investigation for manslaughter and shipwreck earlier this week and declined to answer questions from prosecutors on Tuesday.
Two other crew members were placed under investigation on Wednesday.
Being investigated does not imply guilt and does not mean formal charges will follow.
Those facing investigation have no obligation to stay in Italy but have to nominate lawyers so that the authorities have a way of remaining in contact with them.
The UK-flagged Bayesian, a 56-metre-long yacht, capsized and went down on August 19 within minutes of being hit by a pre-dawn storm while anchored off northern Sicily.
The sinking has puzzled naval marine experts, who said a vessel like the Bayesian, built by Italian high-end yacht manufacturer Perini, should have withstood the storm and, in any case, should not have sunk as quickly as it did.
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