Members of an exclusive club restricted to selected graduates of Oxford and Cambridge universities are being warned that computer data containing their personal details is feared stolen.
The Sunday Telegraph reported that the club believed a "back-up" hard drive had been taken from a locked room inside its London headquarters.
The information stored on it is said to include names, home addresses, phone numbers and some bank details.
The 5,000 members include Stephen Fry.
A spokeswoman from the club told the BBC that the "article in the Sunday Telegraph accurately reports what has happened".
She added: "An investigation is continuing, but I can't add anything else at this time."
The newspaper said the suspected theft had been discovered on 16 November.
It said both the police and the members had been notified, and that private investigators had been hired.
A spokesman for the Metropolitan Police was unable to provide any other information.
Although the Duke of Edinburgh and Prince of Wales are honorary members of the club, data about them has not been exposed, according to the Telegraph.
However, it added that Lord Rees – one of the country's leading astrophysicists – is among those thought to be affected.
The UK's Information Commissioner's Office states that organisations must take "appropriate" security measures to protect personal data and consider notifying the individuals concerned if there is a breach.
"We have been made aware of an incident involving the Oxford and Cambridge Club and are making enquiries," the watchdog told the BBC.
Among the advice it gives is to use encryption as well as to ensure quality doors and locks are used.
The club has not disclosed what measures it had taken.