The "distinctive" thief was wearing top-to-toe fluorescent clothing when he entered the Coral shop in Emmanuel Street.
He put his hand in his pocket as though he had a weapon, but when staff said they had no money, the thief fled.
Police admitted he "was not trying to blend in" and appealed for witnesses.
An officer said staff at the shop were left shaken by the ordeal on Sunday evening, but were not hurt.
More on this and other stories from Cambridgeshire

11 March 2016 Last updated at 07:50 GMT
Dramatic footage captured large pieces of ice breaking away and falling into the river below on the site in the City of El Calafate, in the Santa Cruz Province.
The glacier loses ice roughly every few years and the last time big ice chunks fell off was in 2012.
An umbrella-wielding thief was thwarted when staff told him there was no cash at the bookmakers' he was attempting to rob in Cambridge.
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Part of one of Argentina's biggest attractions, the Perito Moreno Glacier known as the "White Giant", has collapsed crashing into the water.