Police were alerted the following evening.
Detective Inspector Aaron Pascoe, Auckland City Police, said Mai missed her flight on Friday evening.
"Police have made inquiries with Customs and Immigration and have undertaken cellphone inquiries, but at this point there are no indications as to where Ling Fang may be.
"She has not left the country and her Chinese cellphone is switched off."
CCTV footage obtained from her hotel showed her leaving on Wednesday evening and walking to Gladstone Rd, Pascoe said.
"Ling Fang's family back home are obviously very worried, she is a widow with a teenage child."
Her disappearance was out of character, he said.
"We are increasingly concerned by her disappearance."
The Herald asked a police spokeswoman the name of the hotel Mai checked in to, and she is checking whether that information can be released.
The spokeswoman did not know who reported Mai missing.
An Asian liaison officer from the police is working with Mai's family, who are not believed to have travelled to New Zealand.
Ling Fang was wearing a black top, blue jeans and black sports shoes with distinctive fluoro yellow stripe and soles. She was also wearing a dark three-quarter length jacket.
Anyone with information should contact the Auckland City Crime Squad (09) 302 6832.