The four robbers dug the tunnel under a bank in central Milan, and once inside waited for the first employees to arrive before forcing them to open the safe and emptying the safety deposit boxes.
Once the alarm was triggered, the police arrived on the scene only to discover the crooks had made their escape.
Local residents were quick to point out they had warned the authorities something odd was going on underneath the building.
"We began hearing noises on Sunday evening. We were jokingly saying to each other, 'Are they robbing the bank ?'," one unnamed resident was quoted as saying in the media.
On Thursday, the night before the robbery , "even the pavement outside was shaking", they said.
The value of the theft was not immediately known.