Officers are hoping to speak to anyone who might have seen the statue in a vehicle.
North Yorkshire Police said the break-in happened on South Street after 12.30pm on November 29.
A spokesperson said: "We are requesting the public’s assistance to help establish the full circumstances surrounding the incident.
"In particular, we are appealing for information about anyone seen in the area at the time of the incident, or for anyone who saw anything suspicious to get in touch. This may include a vehicle that had a bronze statue in."
Anyone with information can call North Yorkshire Police on 101, select option 2, and ask for Sharon Leverton or email [email protected], quoting reference 12180225733.
Information can also be passed, anonymously, to Crimestoppers on 0800 555 111.