A police official told the BBC that the sacred relic was stolen from a glass case inside the Badshahi Mosque, built in 1673 during the Moghul period.
The glass case was found broken and empty by a house keeper on Wednesday night, he said.
The shoes were one of the historic exhibits on display to the public inside the mosque, which is visited by dozens of people every day from Pakistan and abroad.
Punjab Minister for Religious Affairs, Ghulam Sarwar Qadri, said the government would hold an inquiry into the theft, which he said was either the result of a conspiracy or due to negligence by mosque staff.
Charged emotions
BBC correspondent Shahid Malik in Lahore says the relic is highly venerated by Muslims and the theft is the first incident of its kind in Pakistan.
The shoes are said to have been presented to the emperor Tamerlane on the conquest of Damascus in 1400.
They were eventually brought to the sub-continent, along with other relics, in the 16th century, during the early Moghul period.
Lahore City District Mayor Mian Amer Mahmood said the burglary was an attempt to destabilise the government, but he did not elaborate.
Relics of the Prophet Mohammad and their preservation evoke intense emotions in the sub-continent.
Holy hair
In 1964, a lock of hair believed to belong to the Prophet was stolen from the Muslim shrine of Hazrat Bal in Srinagar in Indian-administered Kashmir.
That led to widespread rioting in the disputed territory, with many Muslims believing that Indian authorities, who are mostly Hindu, had masterminded the theft of the relic.
The ensuing violence lasted several months and spread across the sub-continent until the lock of hair was eventually returned, although it was never established by whom.
In March, the relic was again at the centre of unrest in Indian-administered Kashmir after an Indian politician questioned its authenticity.
Muslim students held three days of protests after politician Vinay Katiar was reported as saying that the hair had actually belonged to a Hindu holy man.