The star said the purse went missing while she was on stage and doing subsequent interviews.
Abbington tweeted: "We went up to collect the Emmy, did some press, came back to my seat and [someone] had nicked my purse from under my seat."
The Los Angeles Police Department said they had no information about a theft.
Neither the Emmys or the Microsoft Theatre, where the event was held, have yet commented.
Sherlock: The Abominable Bride won the prize for outstanding television movie at Sunday night's ceremony at the Microsoft Theatre in Los Angeles.
Abbington, who appears as Mary Morstan in the series, said her driving licence and phone were both in the purse.
One of her followers suggested: "Perhaps it accidentally got kicked away from under the chair and then someone handed it in to staff?"
But Abbington responded: "No, I hung around until everyone had left the auditorium. Nothing there."
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Sherlock actress Amanda Abbington has claimed her purse was stolen from under her seat while she was collecting a prize at the Emmy Awards.