The suitcase containing the documents, thought to concern the war in Iraq, was stolen from a solicitor of the law firm Eversheds on her way from Leeds to London on Monday.
"The possible theft is under investigation by the British Transport Police. Action is under way in an attempt to recover the papers," the channel quoted a spokeswoman for the Attorney General's Office as saying.
The incident is the latest in a series of losses of government documents. In October 2008, a senior official left classified documents, related to Al-Qaeda, on a train. The documents were recovered and the man was fined for negligence.