The theft occurred in the Chennai Mail from Bengaluru at Nattrampalli limits on Karnataka-Tamil Nadu border in early morning.
"We are investigating it. It appears to be a team work and we suspect the involvement of some criminals based in North India," a police official investigating the case told PTI.
"While a victim has said that the chain was snatched from a window opening another has said that it was done by a man from inside the compartment. We are probing," said a senior police official from Chennai who visited the spot and held inquiries.
Of the four victims, "some were asleep" and were caught unaware, the senior official added.