The expensive spirit was lifted from the collection at the Café 33 bar in the Vesterbro district of the Danish capital, the bar's owner told TV2 Lorry.
The stolen Russo Baltique vodka is the only one of its kind and is worth eight million kroner (1.1 million euros), Brian Ingberg said to the media.
Its high value is due in part to the three kilograms of gold and three kilograms of silver used to make the bottle.
It is also adorned with leather from a 1912 Monte Carlo rally car, according to the report.
“I had loaned [the bottle] from Russia from something called the Dartz Factory, which makes the world's most expensive cars and vodka. It has been part of my collection for six months, but not anymore,” Ingberg told TV2 Lorry.
The Dartz Motorz Company is a privately-held company based in Latvia that produces high performance armoured vehicles.
“I am obviously very upset. It was the icing on the cake in my collection. Of the 1,200 bottles I have, this was a very special bottle to have there,” Ingberg added.
The theft has been reported to Copenhagen Police. Security camera footage posted on the vodka collection's Facebook page shows two masked men wearing baseball caps stealing the vodka, according to Ingberg.
“They apparently have a key or copied a key, and they have rolled up the shutters and unlocked the door, then gone into the bar and broken down the door to the vodka museum in the basement. They then left with only one bottle, even though there are 1,200 bottles they could have taken,” Ingberg told TV2 Lorry.
Copenhagen Police confirmed to TV2 Lorry on Tuesday that it had received a report of the theft and that the case had been referred to its burglary section, the media reports.