John Joyce, 72, has not been seen since last Friday when he was last captured on CCTV in the Portuguese town of Fatima.
Catherine Hathaway has launched a Facebook appeal to track down her uncle who she says went out without any money, bank cards or his passport.
She said: "He has been missing four nights now and we are increasingly worried."
Mr Joyce was attending a 6 day pilgrimage with the group he was travelling with arriving in Fatima on July 11 via a flight to Lisbon from London Gatwick.
Rivelin Valley Road Sheffield: Body found after police search of Rivelin Valley
Hosepipe ban: Reservoir near Sheffield less than 15 per cent full as photos show how water levels have plunged
Sheffield weather: Met Office issues thunderstorm warning as heatwave set to end with heavy rain and lightning
Rotherham missing boy: 13-year-old missing for 10 days as police make appeal
High Green assault: Sheffield bus driver punched on his break leaving him with facial injuries
According to missing persons website the Lucie Blackman Trust, which supports British people overseas, Mr Joyce met the group for breakfast then went to a video screening in a small studio about 100 yards away from the hotel and after this the group went their separate ways.
He was last seen walking towards a museum about 11am.
Local police and the British Embassy in Portugal are understood to be helping in the hunt for Mr Joyce.
His family say he was last seen at 11am on July 14, wearing shorts and a shirt and without a hat.
He is described as being of large build and about 5ft 6in in height. His hair is a crewcut style, balding and he is missing a lower denture. It is believed he was wearing black mid-calf shorts, a T-shirt and black sandals.
She added: "His sisters - my mum and aunt - are in Portugal searching."
Anyone with information can contact Hotel Essence Inn, Marianos. 249 531 572.
Alternatively, from the UK you can call the Lucie Blackman Trust on 0800 098 8485 or you can email any information to [email protected]
Sheffield Wednesday fans in Portugal for the Owls' pre-season tour are also being urged to look out for Mr Joyce.
The squad landed in Portugal on Monday lunchtime for their six-day warm weather training camp and are due to play three friendlies against Portimonense, SC Farense and Vitória de Setúbal in the country this week.
All information will be treated in the strictest confidence.