The puppet, used in the ITV comedy series, was to go under the hammer in Shropshire on 1 November with a guide price of Â£5,000 to Â£10,000.
But Mullock’s auctioneers said they had been told by the show’s producers that the puppet was stolen in 2000.
A spokesman said they were co-operating with West Mercia Police.
Officers from the Metropolitan force are also involved as the puppet was being held at an address in London, a spokesman for Mullock’s said.
‘Bought in good faith’
Richard Westwood-Brookes, an expert with the auctioneers, told BBC News that a producer of the long-running series emailed Mullock’s about the alleged theft late on Wednesday.
Roger Law told the auctioneers the puppet disappeared from a store at Three Mills Island Studios – where the programme was made – along with Shakespeare and Paula Yates, who were also to be sold at auction seven years ago.
But Mr Westwood Brookes said he had been communicating with the vendor and said he believed he had bought the item in good faith four years ago.
“Stolen items turning up at auction is certainly not new but the advantage is it’s a transparent and public sale with a view to flush out situations such as this.” he said.
Earlier this week he defended the sale of the puppet at Ludlow Racecourse denying it was in bad taste despite it being held during the inquest into the deaths of Princess Diana and Dodi Al Fayed.