The perpetrators forced the main gate to Thoiry zoo near Paris and broke through at least two other security barriers on Monday night, without disturbing five people who live on the grounds.
The animal, a four-year-old "critically endangered" southern white male named Vince, was attacked inside an area where at least two other rhinos are kept.
"Staff left the rhino enclosure on Monday. When they returned on Tuesday, an animal had been killed and its two horns had been sawn off," a police spokeswoman told AFP.
The rhino had been shot three times in the head.
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"Only the main horn was stolen," the spokeswoman said.
Investigators estimate the horn is worth 30,000-40,000 euros (USD 31,700-USD 42,250).
Black market rhino horn sells for up to USD 60,000 per kilo -- more than gold or cocaine -- with demand principally coming from China and Vietnam where it is coveted as a traditional medicine and aphrodisiac.
In the last eight years alone, roughly a quarter of the world's rhino population has been killed in South Africa, home to 80 percent of the remaining animals.
Thoiry zoo is equipped with video surveillance, but cameras are not installed in the area where the rhinos live.
"This was carried out despite the presence of five members of staff who live on the site and (despite) security cameras," the zoo said.
The two other rhinos in the enclosure with Vince which were unharmed were a 37-year-old female, Gracie, and a five-year-old male, Bruno.
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