Remains of the helicopter's fuselage were found on Thursday morning but the search continues for the missing men, including the pilot and co-pilot.
A fifth crew member was rescued from the AS 332 Super Puma.
A large-scale search including naval, police and maritime rescue services was underway of the area, 25 nautical miles southwest of the archipelago's Fuerteventura island, a military spokesman told news agency AFP.
"They were doing a regular rescue by winching exercise when it crashed," the source added.
The cause of the accident is not yet known.
Don't miss stories about Spain, join us on Facebook and Twitter.