The built-in search only searches in posts and answers, so you will not find comments using that.

One method which is reasonable is using Google with restricting to this site. For example: [proportionality site:mathoverflow.net](https://www.google.com/search?q=proportionality+site:mathoverflow.net). This searches both in posts and in comments.

Another reasonable possibility is to use [data explorer](https://meta.mathoverflow.net/tags/data-explorer/info). You can create your own queries or use some of many already existing queries. For example, [this SEDE query](http://data.stackexchange.com/mathoverflow/query/556789/comments-containing-given-keyword-with-text-and-author?Word=proportionality) searches for comments containing a given word. (You should keep in mind that the data are only updated once a week.)

If you are only interested in comments posted by a specific user, you can view all comments of a particular user [on their profile page](https://mathoverflow.net/users/current?tab=activity&sort=comments). However, this is rather inefficient if the user in question left many comments.


See also:

 * https://meta.stackexchange.com/questions/23771/how-can-i-search-for-specific-comments on meta.SE
 * [Searching comments](https://math.meta.stackexchange.com/q/3097) on meta.math.SE.
 * [How to browse or search comments?](https://math.meta.stackexchange.com/q/12142) on meta.math.SE

<hr>

In the above posts you can also find some further search queries. (For example, some of them restrict posts by userid of the comment owner or post owner.) There is also [this query](http://data.stackexchange.com/mathoverflow/query/114513/search-comments?SearchQuery=proportionality) for searching all comments. The main difference between the two SEDE queries I linked is that one of them explicitly says that the [given parameter is string](http://data.stackexchange.com/help#parameters). I do not know much about Data Explorer, but I do not think this makes a substantial difference.