The robbery took place in the hotel room of an American woman employee of Swiss bijoutier Chopard as she was out for the evening, police said.
A strongbox containing jewels was ripped out of the wardrobe and carried off, they said.
The public prosecutor for the Cannes region, Jean-Michel Cailliau, said the loss was estimated at USD 1.4 million.
But Chopard downplayed the reported value of the jewels and contradicted police reports that they were intended to be worn by stars at Cannes.
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The Chopard employee was due to be interviewed by police later today and investigators were trawling through footage from the city's security cameras to hunt for clues, they said.
Chopard is one of the official sponsors of the festival, and one of its stores, complete with its own red carpet, lies on the palm-fringed beachfront, just opposite the venue.
The jeweller redesigned the Palme d'Or trophy and each year lends out jewellery to stars for their walk up the red-carpeted steps at the Palais des Festivals.
Actresses at this year's festival who have donned Chopard jewellery include Julianne Moore, Lana Del Rey, Cindy Crawford, China's Fan Bingbing and Spain's Blanca Suarez.
Chopard, though, issued a three-paragraph statement saying that it could not give many details because the incident was under investigation.
"We can only let you know that the value of the pieces stolen is far lower than the figures announced in the media," it said.
"The jewels stolen are not part of the collection of jewels that are worn by actresses during the Cannes Film Festival."
The Palme d'Or features 118 grammes (four ounces) of yellow gold, with a value of more than USD 26,000, set in a base of rock crystal.
The history of the trophy dates back to 1955 -- by coincidence, the year that Alfred Hitchcock made "To Catch A Thief," about a gentleman robber and a jewel heist on the French Riviera.
And in another twist, the robbery took place shortly after the world premiere of "The Bling Ring," a true-to-life tale of a group of wealthy teenagers who burgle the homes of Hollywood celebrities.