Jewellery, an iPad and a phone were stolen from the dressing room shared by Sophie Ellis-Bextor, Abbey Clancy and Natalie Gumede while the BBC show was being filmed live in Blackpool.
Police said that the break-in at Blackpool Tower was almost certainly an inside job.
The thieves are thought to have exited using a network of underground tunnels to avoid being seen on CCTV.
They struck while the Strictly finalists were performing in the Tower ballroom on Saturday evening.
Police believe that those responsible for the theft had access to the programme scheduling, possibly from the dress rehearsal earlier that day, and so knew the best time to carry out the raid.
"We are investigating a theft that has occurred this evening at the Tower ballroom at Blackpool," a police spokesperson confirmed.
Fiona was voted off this week
"It was reported to us at around 9.45 that some items had been taken from a dressing room within the building."
News of the theft emerged as former Bond girl Fiona Fullerton became the seventh celebrity to leave the show.
The View To A Kill star, partnered with Anton Du Beke, said taking part in the dancing series was like "being a guest at the best party in the world".