A club spokesman said: "The theft occurred this afternoon and we will have a better idea of exactly how many tickets have been taken tomorrow.
"However, all tickets had been sent by special delivery so we will have an exact record of the individual seat numbers.
"Consequently, we urge our supporters not to buy tickets from unauthorised sources as they run the risk of not being allowed into the Millennium Stadium and of being arrested for being in possession of stolen property.
"We will be working over the weekend to identify the missing tickets."