He was with a friend on the east side of the Mississipi River at Memphis Tennessee. The singer was fully clothed when he waded into the water while listening to music, his friend told police.
The friend was also a roadie. Jeff waded into the water. He was pulled under by the undertow created by a passing boat. The friend was turned away at the time.
if you read the full story in "Dream Brother" he waded out into the river Wolf or something like that name not the missippi and was last seen strumming a few chords on his guitar up to his knees in water. But apparently the rest is tru as MargotDarko said, he was pulled under.