The animal, a black cockapoo called Murphy, was inside the car when the vehicle was taken from outside a health club in East Dunbartonshire on Tuesday.
The owner was inside the Virgin Active health club on Strathblane Road, Miln-gavie, when the dark grey Volkswagen Scirocco was taken.
Police Scotland said the keys to the car were stolen from a secure locker in the changing area between 4.50pm and 5.10pm.
It is not yet clear whether Murphy was let out of the car or went with the thieves when they made off with the vehicle, officers said. The animal had a red collar on at the time.
The dog's owner, who has not been named, said: "My family and I are extremely upset at the theft of our beloved family pet and would appeal for anyone with information on his whereabouts to please come forward."
Police investigating the theft are hunting two male suspects.