The royal, who has not been named, told the prosecutor that the robbery took place Friday. The jewels were in her room but in the safe.
Police investigation has not revealed any evidence of intrusion in the hotel room.
A spokesman for the Ritz declined to comment, Reuters reports.
The hotel located in affluent Paris neighborhood known for expensive boutiques and jewelry shops, is venue to world celebrities and posh families and clients.
In January, axe-bearing thieves burst into the lobby and stole millions of dollars worth of necklaces and other jewelry from display cases, Reuters reports.
In October 2016, American TV reality star, Kim Kardashian lost jewelry worth millions of dollars, 10-minute walk from the hotel.
Paris authorities stepped up security in the vicinity but the new measures have not deterred robbers from targeting the famous hotel.