Police in the Netherlands said the works were taken from the Kunsthal Museum early on Tuesday morning.
The museum is showing works from the Triton Foundation as part of its 20th anniversary celebrations.
The paintings include Monet’s Waterloo Bridge, Picasso’s Tete d'Arlequin, Matisse’s La Liseuse en Blanc et Jaune and Freud’s Woman with Eyes Closed.
Museum spokeswoman Patricia Wessels said that police were alerted during the night when the alarm went off but that the thief, or thieves, had left the premises by the time police arrived. “An initial investigation suggests that the robbery was well prepared,” a police statement read.
Police are now reviewing videotape footage and calling on any witnesses to come forward. In a statement, the museum’s chairman Willem van Hassel said the museum would be closed on Tuesday.