The dress, studded with 6,000 natural white pearls, was taken from the London Hotel in West Hollywood when Nyong'o was out of the room.
The Kenyan won best supporting actress last year for Twelve Years a Slave and was a presenter at Sunday's ceremony.
People magazine named her the most beautiful person of 2014.
Sheriff's Lt William Nash said the dress appeared to be stolen on Wednesday evening and officers were checking CCTV footage.
On the red carpet on Sunday, Nyong'o, 31, told Associated Press: "I'm just wearing my diamonds and pearls. My homage to (musician) Prince."
She added of the dress: "We talked about it being fluid and liquid. I wanted it to be an homage to the sea."
No arrests have been made.
Calvin Klein has not commented.
[H/T : BBC]
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