According to the Evening Standard, thieves stole jewellery from the stand of Switzerland-based jewellers Boghossian during the night of Tuesday July 4.
A Metropolitan Police spokesperson told ATG: "Detectives in Kensington & Chelsea Borough are investigating the theft of high value jewellery from a venue in SW3."
The police believe the items were taken at some point between 5pm on July 4 and 9:30am on July 5.
There have been no arrests at present and enquiries continue.
The police is appealing for witnesses and anyone with information can contact police via 101, or via Twitter @MetCC.
A statement from Masterpiece said: "Masterpiece is fully co-operating with the Metropolitan Police and we take the security of the fair and the objects exhibited very seriously."
