The armed robber at the Carlton Hotel in Cannes targeted a temporary jewellery exhibition it was hosting from a diamond house owned by Israeli billionaire Lev Leviev.
It remains unclear how many pieces were stolen.
The valuable jewels were due to be on public display until the end of August.
The Carlton Hotel, which has seen £34m worth of jewels stolen in broad daylight by an armed robber, earned its place in movie history for its association with jewellery theft.
The French Riviera resort provided the setting for Alfred Hitchcock's 1955 heist-thriller To Catch A Thief, which starred Cary Grant and Grace Kelly.
The Carlton built a close relationship with the film industry and now plays a central role in the annual Cannes Film Festival.
French police have said they are urgently hunting the armed man who today robbed the Carlton Hotel in Cannes of jewellery worth 40 million euros (£34 million) in broad daylight.
A Cannes police spokesman, quoted by the BBC, said: "A full and urgent operation is under way to catch the culprit and recover these jewels. Thieves see Cannes as rich pickings."
Today's daring jewels heist took place at the Carlton Hotel, located on the Croisette promenade, and one of the most prestigious locations to stay in France.
The hold-up, which took place in broad daylight, was reportedly the work of one armed man who is said to have made off with the jewels in a briefcase.
In May, during the city's famous Film Festival, jewels worth €777,000 (£650,000) were stolen from the Novotel hotel room an employee of Swiss jewellers Chopard.
An armed man has stolen jewels worth about 40 million euros from a hotel exhibition in the French Riviera resort of Cannes, the BBC has quoted French officials as saying.
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A Cannes police source said authorities were investigating whether a second incident of vanishing jewels was a theft, a problem of inventory or a loss, a source said.
Another Swiss jeweller, Chopard, had gems worth $1.4 million stolen in the first week of the 12-day festival on the French Riviera.
Police said the Chopard jewellery had been in the safe at Suite Novotel hotel in central Cannes, which had been rented by an employee of the jeweller.
The entire safe was removed from the wall and taken during the night of 16 May.
Someone entered without forcing the door, a police source said.
A spokesman for Chopard, a sponsor of the Cannes festival, later played down the report, saying values had been exaggerated.
Jewellers and fashion houses use the world's largest film festival at Cannes as a promotional showcase, lending gowns and accessories to celebrities who are photographed.
The Cannes Film Festival was hit by a second suspected jewellery heist when a diamond necklace worth 2 million euros (£1.6 million) vanished during a star-studded party, according to upmarket jeweller De Grisogono.
Fawaz Gruosi, the founder of the Swiss firm, said the necklace was part of the company's 20th anniversary collection paraded by 20 models at the glitzy event at the Hotel Du Cap-Eden-Roc in Antibes outside Cannes on Tuesday night.
Sharon Stone and Paris Hilton were among the guests.
Mr Gruosi said 80 bodyguards, local police, hotel security, and De Grisogono staff had been on duty but when a check was made at the end of the night the diamond necklace was missing.
"We don't know exactly what happened ... it was one of the most beautiful items we had," Gruosi told said