The plane was airborne on a training mission from Jaisalmer and crashed around 6.10 p.m. near the Pokhran range.
An IAF spokesman said a court of inquiry would probe the cause of the accident.
Jaisalmer SP Kiran Kang said no casualty has been reported so far, and a police team is in touch with Air Force officials.
She said a police team rushed to the spot.