The Met Police said it received a call on Friday confirming an intruder alarm had been activated Police were told a burglar alarm had gone off at the scene of the Hatton Garden safety deposit raid - but decided it did not require a response.
Up to 70 safety deposit boxes were emptied at the Hatton Garden Safe Deposit Ltd in central London over the Easter Bank Holiday weekend.
The Met Police said they received a call on Friday 3 April at 00:21 BST.
Officers are now investigating why the call was given a grade that meant no police response was deemed necessary.
In a statement, the Met Police said: "It is too early to say if the handling of the call would have had an impact on the outcome of the incident."
The force said the investigation into why the grade was applied to the call would be carried out locally.
Police said a heavy duty drill was used to bore holes to access the vault The phone call from the Southern Monitoring Alarm Company was made to the Metropolitan Police Service Central Communications Command and was recorded and transferred to the police's computer aided despatch system.
The call stated a confirmed intruder alarm had been activated at the Hatton Garden Safe Deposit Ltd, police said.
According to the Met's website, calls to the central communications command are dealt with by an operator, who grades all incidents "in terms of their urgency".
The website [Only registered and activated users can see links. ]: "First contact operators will question the caller and gain all the relevant information necessary to ensure the best police response.
"Having completed this, the operator will grade the call in accordance with standard operating procedures for the type of incident."
Calls are passed to a despatch operator for deployment if required and police resources are assigned depending on the type of incident, the site says.
Police said they found a "chaotic" scene inside the vault Previously, Scotland Yard said they were alerted to the burglary on Tuesday.
The Met said it was "photographing the scene and recovering exhibits in meticulous detail". It would not comment on the total value of items stolen.
A heavy duty drill was used to bore holes into the 6ft (2m) thick walls reinforced with concrete to access the vault after the thieves had climbed down a lift shaft.
Experts said it was likely the thieves made several holes until they had created a big enough space to get through, which would have taken an experienced operator several hours.
Hatton Garden is famous for jewellery and the vault was used mainly by local jewellers and gold dealers.
No arrests have been made.
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