THE PLT WAS MAKING AN APPROACH TO KNOX COUNTY ARPT, ROCKLAND ME AND AFTER RECEIVING A WX REPORT FROM UNICOM THAT THE LOCAL WX WAS BELOW APPROACH MINIMUMS HE INDICATED THAT HE WOULD MAKE A MISSED APPROACH. THERE WAS NO FURTHER COMMUNICATIONS FROM THE ACFT. A WITNESS ON TOP OF BALD MOUNTAIN, NEAR THE ARPT, SAID THE FOG WAS VERY THICK AND THAT HE HEARD THE ACFT HIT THE MOUNTAIN. HE ALSO SAID THAT THE ACFT ENG WAS RUNNING SMOOTHLY AND HE HEARD NO SOUNDS OF MALFUNCTION. THE ACFT WAS FOUND APRX 15 MILES FROM THE ARPT ON A 30 DEGREE HEADING. THE PLT HAD EARLIER RECEIVED A REPORT THAT THE WX WAS BELOW MINIMUMS AND NO ACFT HAD ARRIVED AT THE DEST ARPT THAT MORNING. AN INSTRUCTOR WHO HAS GIVEN THE PLT INST TRNG SAID THAT HE OBSERVED A WEAKNESS IN MISSED APPRCH PLANNING DURING TRAINING BUT IT SEEMED TO HAVE BEEN CORRECTED AFTER TRAINING. THE POST ACC INVESTIGATION REVEALED NO EVIDENCE OF ACFT MALFUNCTION. NO EVIDENCE OF MEDICAL FACTOR INVOLVEMENT.