The incident happened last week when the man, who is in his late forties, had come down on a business trip to Delhi, said a senior police officer.
The man called the woman to Claridges Hotel where he was putting up, the officer said, adding that the duo stayed in the room.
While the man was asleep, the woman allegedly fled with his watch and cash, police said.
When he woke up around 7 AM, he contacted the police and a case was registered, said the officer.
Police are scanning the CCTV footage from the hotel, the officer said, adding that they are also in the process of verifying the identity of the woman.