12:15 PM PT -- TMZ has learned Ariana Grande is at the 30 Rock building to see Pete if possible. She tweeted ... "I’m downstairs and I’m not going anywhere if you need anyone or anything. I know u have everyone u need and that’s not me, but i’m here too."

She also apologized for her "dumb joke" about Kanye and Drake's beef that led to the topic of mental health when Kanye went after her. She said ... "i really didn’t mean any harm. all i want everyone to be healthy and happy. so desperately. please. my god."

Grande also deleted her previous tweets about "triggering" Kanye and commenting on mental health.

11:58 AM PT -- Pete has made numerous comments on social media in the past about suicidal thoughts to varying degrees. He has now wiped all of that clean by deleting his Instagram account. Sources close to Pete tell TMZ ... they believe his emotional turmoil has escalated recently and are very worried about him.

11:43 AM PT -- Multiple sources have told us Pete is at 'SNL' rehearsing for tonight's show. It's bizarre, but it seems like he may have posted his ominous note while he was at work or on the way in.

11:25 AM PT -- NYPD tells TMZ ... it received a flurry of calls from fans worried about Pete, so they've sent officers out to find him to do a welfare check.

Machine Gun Kelly tweeted about the situation, saying he's on a plane to see Pete to make sure he's good.

Jon Cryer also just tweeted that he heard Davidson is at 'SNL' and accounted for.

Pete Davidson just shared a troubling and cryptic message ... implying he's having suicidal thoughts.

The 'SNL' star posted the note on Instagram, saying ... "i really don't want to be on this earth anymore. i'm doing my best to stay here for you but i actually don't know how much longer i can last."

It's unclear to whom Pete's directing his words, but he adds ... "all i've ever tried to do was help people. just remember i told you so."

Davidson's message seems to be a cry for help -- just minutes before he posted it he responded to Kanye West going after his ex, Ariana Grande, by commending Ye for speaking about against mental health issues.

He said ... "I can't explain to you enough how difficult and scary it is to be honest about stuff like this."

Just 2 weeks ago, Davidson went off on online trolls for harassing and bullying him, telling them he wouldn't kill himself no matter how hard they tried to get him to. Ariana responded not long afterward, telling her fans to "be gentler" with Pete and others ... saying she cares deeply about him and his health.

As you know, it's been a turbulent year for Pete. He got engaged to Grande and then they split, and he also had to deal with a controversy on 'SNL' for making a joke about a wounded vet.

Speaking of 'SNL' ... there's an all-new episode tonight with host Matt Damon and musical guests Miley Cyrus and Mark Ronson. We did some checking, and it doesn't look like Pete was featured in any of the promos this week. It's unclear if he'll show up for work tonight.