Thieves are said to have stolen money, phones and expensive cosmetic products from the make-up room while the launch show was being filmed, according to The Sun.
Head of make-up Lisa Armstrong - wife of Britain's Got Talent co-host Ant McPartlin - was said to have been among those who had items stolen.
Several of the celebrities taking part in the new series allegedly helped give staff members cash in order to pay for taxi fares home.
A source said: "People come in and out of that room all the time. Everyone knows each other so they leave valuables lying around.
"The room was full of purses, mobiles and make-up, all of which went. Whoever did it must know what a treasure trove it can be."
An investigation is now under way following the theft, with security increasing in future at the West London Television Centre.
Strictly Come Dancing debuts on Saturday, September 15 at 6.30pm on BBC One.
Photo gallery - Strictly Come Dancing launch: