The 24-year-old, who was not wearing a coat, is thought to have frozen to death in overnight temperatures of minus three degrees, according to newspaper reports.
The man's body was discovered lying in a vegetable plot by a dog walker six days after his disappearance.
The young man, who worked for a drilling company, had moved on to a club with friends following a work night out.
At around 10pm he was thrown out of the club in t-shirt sleeves, apparently because he had no money.
According to Valais paper Le Nouvelliste, a worker at a kebab stand opposite the club was the last person to see him alive.
He said he had given the young man a sandwich although he had not had the money to pay for it.
The kebab seller said he was accompanied by another person.
The dead man's father said he found it hard to accept that his son had died of hypothermia.
He said his son may have become disorientated and been heading for Sion.
A manhunt involving search dogs and helicopters failed to find the missing man.