A backup computer drive, described as the size of a toaster, was taken from a locked room inside the club's headquarters in Pall Mall, central London, earlier this month.
The information on the hard drive includes members' names, home and email addresses, phone numbers, some bank account details, dates of birth and even photographs.
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Alistair Telfer, the club's secretary, has written to all members by email and followed it up with a letter seen by the newspaper urging them to check bank accounts regularly for "suspicious activity".
"We have been advised that we should write to confirm that there may have been a data breach at the Club which could possibly result in disclosure of your personal data held on the Club computer system," he wrote.
He adds: "This situation has arisen as a result of the theft of a storage disk, and not as a breach of the cybersecurity system, and although the data contained on the disk is protected by multiple layers of security and heavy password protection, we have been advised by data specialists that there is a very remote chance that information could be obtained.
"The management team would like to extend their apologies for the inconvenience caused by this unfortunate incident."
The club stressed that no credit or debit card details were contained in the database.
The club's management has called in Scotland Yard and also hired private investigators to get to the bottom of the theft.
Metropolitan Police officers are studying CCTV footage as part of their investigation.
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