Senior Sergeant Anthony Bond, of Dunedin, said a 31-year-old woman reported that her dog was taken from her vehicle while she was in Pak'nSave at 3.30pm.
The woman spoke with staff, called the Dunedin City Council and the SPCA to see if her dog had been handed in.
Police had no further updates on the situation.
Meanwhile, a 19-year-old woman was trespassed from the store, but returned later at 8.30pm.
When police arrived, the woman was argumentative and demanded to know why she was trespassed.
She was served a notice and made to leave the store.