The filming around Harry Potter was highly secretive
A wizard's hat and three gold coins were taken from the set of the eagerly-awaited film, which premières on 4 November, and were later offered for sale on the web, according to Hertfordshire Police.
Secrecy surrounding the shooting of Harry Potter and the Philosopher's Stone at Leavesden Studios was kept to a maximum over fears of film news being leaked ahead of its release.
But the global popularity of JK Rowling's Harry Potter books has boosted the potential selling price of any related memorabilia, and original props could be worth a considerable amount.
Detectives were contacted by the studio after it was brought to their attention that items from the film were up for sale on the internet.
A police spokeswoman said: "We were called by the studios in March relating to items that had gone missing from the set.
"As with any theft, a full investigation was launched and is still ongoing."
The thefts are thought to have taken place in February but were not noticed until they were spotted for sale at an internet auction site.
The film, which was filmed at various locations across the UK, goes on general release on 16 November.
Production is already under way for the second instalment, Harry Potter and the Chamber of Secrets, once again directed by Chris Columbus.
The clamour for all things Harry Potter is illustrated by the amount of merchandise available to bid for at auction site eBay.
More than 7,000 items are currently for sale ranging such as posters, toys and signed books.
First edition copies of JK Rowling's first wizarding tale, of which only 500 copies were published, have reportedly fetched as much as £16,000 at auction.