Police are currently working to verify its authenticity, said The Hollywood Reporter.
A West Hollywood Sheriff Department spokesperson said that a dress has been found but could not confirm it was Nyong'o's.
"Detectives will work with the owners of the dress, to confirm if that is the dress. At this time no one has been arrested and the investigation is still ongoing," the Sheriff Department said in a release.
The pearl-embellished dress was stolen on Tuesday afternoon from The London West Hollywood hotel while the actress was out.