From ABC's The Note:

ABC's Joe Goldman reports that a US embassy official in Buenos Aires tells him that the embassy had "absolutely no idea" that Sanford was in Argentina. The embassy official added that this comes "from out of left field -- it would be extremely odd that a US governor would not check in with the embassy."

Late Update: On the other hand, a State Department spokesperson tells The Plum Line that a governor would not notify the department or embassies if he were going abroad.