A gang reportedly used a network of tunnels to escape after stealing items during the live BBC One show at Blackpool Tower in Lancashire yesterday (16.11.13).
Jewellery, an iPad and mobile phones were believed to be taken from the dressing room shared by contestants Sophie Ellis-Bexter, Abbey Clancy and Natalie Gumede.
A police spokesman told the Daily Mail: "We are investigating a theft that has occurred at the Tower Ballroom at Blackpool.
"It was reported to us at around 9.45pm (on Saturday) that some items had been taken from a dressing room within the building.
"Officers are investigating the theft and are making a number of enquiries to trace the person or people responsible and we would appeal to anyone who may have seen any suspicious activity in the area to contact police."
Officers said it is not yet clear how the thieves managed to get into the dressing room and they have not revealed which dressing room was targeted.
The thieves struck while the room was empty and it is thought they escaped through tunnels built 120 years ago.
A Tower spokesman said: "Staff and former staff would know of the existence of the tunnels.
"It would mean cutting the risk of going through public areas. It is a rabbit warren below ground level."