The animal, a black cockapoo called Murphy, was inside the car when the vehicle was taken from outside a health club in East Dunbartonshire yesterday.
The owner was inside the Virgin Active health club on Strathblane Road, Milngavie, 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 thief when they made off with the vehicle, officers said. The animal had a red collar on at the time.
In a statement issued via police, 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. I would like to thank everyone for their support in helping to find Murphy."
Police investigating the theft are hunting two male suspects.
One is described as being of slim build, aged 30-39, with dark brown hair and a sallow complexion. He is thought to have been wearing a blue T-shirt and shorts.
The second suspect is said to be of slim build, wearing a purple and white striped polo top and red shorts. He had a pale complexion.
Anyone with information, or who may have witnessed the theft, is being urged to contact community officers at Kirkintilloch police office.
Police can be contacted on 101, while Crimestoppers can be reached on 0800 555 111.