The raiders cut a hole in the perimeter fence of Blackpool Zoo and removed the locks from two separate monkey enclosures.
Two female and one baby cotton-top tamarin, which are an endangered species, and two male emperor tamarins were stolen overnight on Tuesday.
Police believe they were targeted specifically and their details have been circulated to all ports and airports in case the thieves try to take them abroad.
Officers are working with the National Wildlife Crime Unit to try to trace them.
PC Steve Higgs, of Blackpool Police, said: "I would appeal to anyone who may be offered these animals for sale to contact the police."
Police added the monkeys need specialist care and keepers are very concerned about their welfare.
Zoo director Darren Webster said: "We are extremely saddened.
"It is imperative they receive the correct care in order to survive."