Police received reports of a robbery in Prince Albert Rd in St Kilda, at 1.25pm.
The owner of the 10 O'clock Dairy, in St Kilda, confirmed it was at his shop, and a man had come into the dairy demanding he hand over money.
"I said no and told him that he was on video," the owner said.
The man agreed to leave, but told the owner if he alerted police he would hurt him.
A police spokeswoman said no injuries were reported and police were at the scene talking to people and looking for the person.
The 10 O’Clock Dairy has been targeted by criminals before and back in February a knife-wielding man got the fright of his life when he entered the St Kilda dairy, discovering it had been fitted with a new fog cannon.
When the would-be thief entered the store, the shop assistant noticed he was carrying a knife, so she pushed a button to release the smoke. The thief fled the shop.
