The theft of a reported $110,000 occurred in the room of a team director, Rogelio Cattebeke, at the Hilton in Evian les Bains close to the Swiss border, team press officer Gilda Arrua said.
"The French police have already intervened and are on the trail of the possible author of the crime," Arrua told the Asuncion radio station Cardinal.
"I can't give details because everything's in the hands of the investigators."
The theft occurred while the team were training and the press officer was at the airport meeting two players who flew in to join up with the squad.
The Paraguayan online newspaper ABC Digital said a person with a Latin accent passed himself off as a team director to get into the room.
Paraguay will play three warm-ups against Ireland, Ivory Coast and Greece in Europe before travelling to South Africa for the June 11-July 11 finals in which they face holders Italy, Slovakia and New Zealand in Group F.
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