The incident took place on the evening of December 7 or the early hours of December 8. Christie's alerted the Metropolitan Police after the burglary was discovered the following morning.
Scotland Yard's art and antiques unit informed the British Antique Dealers' Association, whose members have been asked to look out for jewellery and Fabergé objets d'art.
Christie's have not publicised the loss but a spokeswoman said: "Christie's is helping the Metropolitan Police to investigate a recent, isolated incident at its London offices."
A Scotland Yard statement said: "We can confirm that officers from Westminster are currently investigating a burglary at business premises which is believed to have occurred between 6pm on Sunday, December 7 and 8am on Monday, December 8.
"A number of high-value items were taken. Inquiries are continuing. There have been no arrests."