McKay was last seen in Santa Clara, California on January 23, 1993. He has never been heard from again. His housemate reported him missing. McKay's car was found by police at Vista Point in Marin County, California, at the north end of the Golden Gate Bridge, after his disappearance. Inside was a note indicating he was despondent and unable to cope with his life.

McKay's daughter was suffering from cancer in 1993 and had an operation around the time of his disappearance. He did not go to the hospital to support her during her surgery, which is uncharacteristic of him. McKay owned a development business which was having problems in 1987, and was losing money. Investigators believe McKay may have jumped off the Golden Gate Bridge, but his body has not been recovered and it is possible he simply chose to move elsewhere and start a new life. He has a bachelor's degree from Santa Clara University and a law degree from Lincoln University. His case remains unsolved.