The RNLI said three of its boats were called out at about 7.45pm but were called back because the incident had happened on land.
The Ministry of Defence said it is investigating the reports, but did not have any details of what may have happened.
Some residents have reported hearing F-15 aircraft searching overhead.
Cley Marshes is cordoned off and the coastal road is also closed.
Local residents are being told to keep clear of the area.
The fire service had earlier said they were called to reports of an aircraft crash in Salthouse, but had said it was a false alarm.
Let us know your views by tweeting @PoliceHour We'll feature the best tweets within the article.