The rig, owned by the Texas-based company Mariner Energy, was operating in relatively shallow water, about 135m, and was not producing oil at the time of the explosion.
All 13 workers on the facility apparently jumped into the sea to save themselves following the blast 130km south of Vermilion Bay.
Nine helicopters and four US Coast Guard cutters have been dispatched to the rig.
'All 13 workers are accounted for and they are all wearing some sort of an immersion suit that protects them from the water', said the US Coast Guard.
The Gulf of Mexico is still struggling to recover from the largest ever maritime oil spill, caused by a similar explosion on the BP-owned Deepwater Horizon rig a few hundred kilometres to the east.
There have been reports that an oil sheen has been spotted around the platform, but it is not yet clear if there has been a spill.
