The VZ58, which looks like a Kalashnikov, had been included in an exhibition on three decades of sectarian conflict in Northern Ireland known as The Troubles, in which 3,500 people were killed.
Five Catholics including a 15-year-old boy were killed in the 1992 attack by Protestant paramilitaries on a sports betting shop in Belfast.
Relatives of the victims believed that the weapon "had been destroyed", the police service of Northern Ireland ombudsman said in a statement.
The weapon was taken from the museum late last year, but details of its removal only emerged this week.
A museum spokeswoman said the rifle was "removed from display", adding that it had originally come into the collections from the Northern Ireland police's Weapons and Explosives Research Centre.
The BBC reported that the weapon had also been linked to the unsolved murder of two men in 1988.
The weapon was originally recovered by the police in 1992, but officers from the Historical Enquiries Team were unable to locate the gun when they re-opened the unsolved murder cases, the BBC said.
"I am absolutely shocked that a gun connected with so many deaths was there on display," he was quoted as saying.
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