The Swift Archway Cranford 545 caravan was stolen from a site in Yaxley, Cambridgeshire, on Thursday night.
Davis tweeted "My touring caravan was stolen.. even though it was locked up with hitch & wheel lock! I want to swear... #rotters".
He added the thieves could have "headed north or south on A1, or west on A14".
Cambridgeshire Police said: "We have had a report of a caravan being stolen in the Yaxley area between 5pm on Thursday and 12.45pm on Friday. We are investigating."
Davis, who played the role of Wicket in the third of the original Star War movies, is also appearing in the forthcoming Star Wars: Episode VII.
Davis's credits include Professor Flitwick in the Harry Potter films and Nikabrik in The Chronicles of Narnia: Prince Caspian.
Anyone with information about the caravan is asked to call Cambridgeshire Police.

Torrential rain overnight left many roads impassable, while rail services were cancelled or delayed.
The Environment Agency issued five flood warnings across the county.
Warwickshire Fire and Rescue said it had rescued a number of people trapped in their cars due to rising floodwater.
More on this story and others from Coventry and Warwickshire
Network Rail said flooding on train lines around Daventry, Rugby and Wolverton delayed services between Birmingham New Street and London Euston.
Trains on the West Coast Mainline also ran at reduced speeds due to heavy flooding.
Rose Plumbley, headteacher of Leamington Hastings C of E Academy in Rugby, said many pupils and staff had not managed to get into school.
"We're in the Leam Valley and it's flooded on both roads into school," she said.
"Some pupils did manage to get in but it became very clear that many weren't going to make it in. We decided to close so that the children can get home in daylight safely."
Firefighters rescued drivers from stranded vehicles in Great Alne, Wolston, Baginton and Princethorpe.
There were also reports of cars stuck in Kenilworth Ford.
There were flood warnings at the River Dene at Walton, River Sherbourne at Allesley, River Stour at Mitford Bridge, Shipston on Stour and Tredington, River Stour from Halford to Clifford Chambers and River Alne at Bird in Hand.

Speaking from South Africa, Mr Machar told the BBC that his rebel faction could still negotiate a peace deal with President Salva Kiir.
His statement comes despite last week's heavy fighting in the city of Malakal.
Mr Machar, who first fled to the Democratic Republic of Congo, is now being treated in Johannesburg.
In July, Mr Machar's bodyguards and President Salva Kiir's presidential guards fought each other, sparking days of violence.
Hundreds of people died and more than 100,000 fled across the border.
The fighting erupted less than a year after a peace deal was signed to form a unity government and end the civil war.
Riek Machar profiled
Speaking to the BBC's HARDtalk programme, Mr Machar said: "I'm going to return to South Sudan."
"Because President Salva Kiir doesn't want democratic and transparent and fair elections to be conducted, he attacked us, he has restarted the war.
"But I am hoping that wise leaders in the region, and in Africa, and the rest of the world will throw up a political process which will bring about peace again, and the resuscitation of the peace agreement, and the reconstitution of the transitional government of national unity."
Mr Machar also denied that claims that he was a warmonger, saying that his troops were simply defending themselves against government attacks.
President Kiir's officials accuse Mr Machar's forces of starting the attacks.
Both sides in the bitter conflict have been accused of perpetrating atrocities, the BBC's Karen Allen in South Africa reports.
More on South Sudan's crisis:
Star Wars and Harry Potter star Warwick Davis, who played an ewok in Return of the Jedi, has taken to Twitter to help recover his stolen caravan.
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Fourteen schools were forced to close due to severe flooding in Warwickshire.
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South Sudan's sacked Vice-President Riek Machar - who fled the country in August - has vowed to return, saying his credibility is intact.