The 2007 work by Glasgow artist Douglas Gordon, The Left Hand and the Right Hand Have Abandoned One Another, valued at £500,000 was taken from Christie's in London.
Gordon, who won the Turner Prize in 1996, said he is now "pretty sure it has been melted down" after it was stolen from a storage facility.
The piece, which belongs to the artist, had been shown this summer at an exhibition at Waddesdon Manor in Buckinghamshire, which ended on October 28, and was being held by Christie's in London for safekeeping when it was stolen.
It is normally kept at Yvon Lambert Gallery in Paris but, after it was sent to the warehouse, documentation had been signed showing the piece had been safely received.
Gordon claims it was only discovered to be missing when an employee picked up its box and thought it was light, so opened it and found it empty.
Gordon, from Glasgow and now based in Berlin, is angry he only found out about the theft from a curator last week – 16 days after it was reported to the police.
He said: "It's like someone borrowing your car, and then you find out from a neighbour that is has been crashed. It looks like I am the last person in the chain to know."
Gordon thinks that, melted down, the value of the metal used in the sculpture would be around £250,000.
The art was discovered to be missing and reported to the police on November 12.
Gordon added: "Apart from the fact it's outrageous that something might get stolen from Christie's, I still own the work and I am the creator of the work. There's something going on here about value and the way the artist is treated in all of this."
A spokesman for Christie's said: "This matter is currently under investigation and we are in contact with all parties involved. We cannot comment further."
Scotland Yard said it is "investigating the alleged theft of a piece of artwork from a secure warehouse in the King Street area of Westminster".
Gordon is one of Scotland's leading contemporary artists, best known for his 24-Hour Psycho installation and his film about the footballer Zinedine Zidane.