A scene examination took place this morning and CCTV footage was being reviewed.
Police are appealing for sightings of a white Subaru in the Pine Hill Rd area between 6-7pm last night.
The man entered the dairy on Pine Hill Rd shortly before 7pm and demanded money, but fled empty-handed soon after, a police spokeswoman said.
At least three police cars were in the area when the Otago Daily Times arrived, and officers were speaking to an occupant of the dairy and examining the scene.
A friend of the store's occupant, arriving at the shop, was told by police he could not come in.
''The store's just been robbed,'' an officer told him.
A police spokeswoman could not confirm whether a weapon was involved. There were no reports of injuries but police were conducting inquiries in the area last night, she said.
The incident came after police last month arrested three people in Ocean Grove in relation to a string of aggravated robberies targeting Dunedin dairies.
That followed an investigation into three robberies targeting dairies since June: the Musselburgh Food Centre on June 7, the Stadium Store in St Kilda on July 15 and the Elgin Food Market in Maryhill on July 16.
On July 26, a masked man also entered the Dundas Corner Dairy in North Dunedin and tried to rob it, but fled on foot soon after.
