James, aged 47, was reported missing after leaving an address in Suffolk Road at around 8:30am on Monday January 26.
Dorset Police added that a further sighting of James was reported in the area of Williams Avenue in Dorchester on Tuesday January 27.
He is described as five feet tall and of slim build with mousey coloured shaved hair.
James was last seen wearing a black hooded jumper, white jacket, black trousers, black boots and a black hat with feathers at the front.
Officers are appealing for help and information from the public to find James.
Police constable Bradley Cronk, of Dorset Police, said: “We are growing concerned for James’ welfare and are carrying out enquiries to try and locate him.
“I would urge anyone who has seen James, or a man matching the description given, to please come forward.”
Anyone with information or knowledge as to James’ whereabouts is asked to contact Dorset Police online or by calling 999, quoting occurrence number 55260012925.