The incident took place last evening when the victim, Shashi Lata, a resident of Sydney, was out of her room in Brijbasi Royal hotel in Kotwali police station area, DSP Chakrapani Tripathi said.
The bag carried her purse, passport, visa, ticket, credit card, cash including foreign currency and mobile.
Lata, who hails from Punjab, had came to Mathura with six other persons and was staying in the hotel, he said.
On the basis of her complaint, an FIR has been registered in connection with the matter, Tripathi said.