"On Wednesday around 1pm, a suitcase belonging to the king of Ghana was stolen in the lobby of a hotel (the Radisson Blue Plaza)", Inspector Marius Erlandssen, in charge of the investigation, told AFP.
The suitcase was at the top of the pile of luggage belonging to the Ashanti sovereign and his entourage when it was taken, he added.
"His personal belongings have great value to him ... (above all) sentimental value since they have been in his family for a long time," Erlandsssen said, while declining to confirm press reports that the luggage contained jewellery.
However the tabloid Verdens Gang quoted the king's secretary, Kofi Owusu Boateng, as saying, "Anyone who carries something of great personal value with them realises that it is a great loss if it's stolen.
"And for those who know our tradition, it is clear that these crown jewels have a tremendous value."
Ghana's embassy in Copenhagen, which is also accredited in Norway, told AFP that Norwegian press reports that the suitcase contained jewellery were correct, but declined to comment further.
"We have video footage of a man leaving (the hotel) with the suitcase. We are working on identifying him. There might be other people involved," Erlandssen said.
King Otomfuo Osei Tutu II is in Oslo to attend a conference organized by the Norwegian-African Business Association on Friday. He arrived in the Norwegian capital on Wednesday and is scheduled to leave on Saturday.
The Ashanti monarch, one of Ghana's most traditional tribal leaders, is one of the country's most revered figureheads and the government regularly consults with him. Ghana became a republic in 1960, three years after gaining independence.