The Royle Family actor was using the holiday home as his base in Chester while he was filming a wildlife documentary in the area.
He explained that the theft must have been carried out by several people as it was securely parked.
He told The Mirror: "I can't believe it's happened. It must have been a well-organised gang as it [had been] two feet off the floor and resting on railway sleepers and breeze blocks because it was parked on a flood plain.
"The caravan was also down a lane over a mile long within a gated meadow. They lifted the gate off its hinges and must have had a decent-sized vehicle to take it away."
He added: "I have only had it for a couple of years and it is still in sparkling condition. It is immaculate… the plastic covering was still on the seats. The caravan was in a great spot and I have filmed woodpeckers, squirrels and buzzards, for a little independent documentary I have been working on for a while.
"There was everything there and it was a lovely place to go for a bit of peace and quiet. I am gutted because I was in the process of letting one of my mates use it for a little outing for his two kids."
Police say that the caravan was taken between 11.30am last Wednesday (June 13) and 9am last Thursday.