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, reported TMZ.
The Kenyan beauty won best supporting actress last year for her role in '12 Years a Slave' and was a presenter at Sunday's ceremony.
Sheriff's Lt William Nash said the dress appeared to be stolen on Wednesday evening and officers were checking CCTV footage.
No arrests have been made.
Calvin Klein has not commented yet.