"At first we thought it was a joke. But it wasn't. This is not something you can have standing in your window," Dean Anders Gadegaard said. "Someone must have used a big truck and crane to get away with it."
The 10.5-foot-tall statue, which normally stands outside Our Lady's Church in the Danish capital, was moved to the shop three months ago. Its granite pedestal was to be repaired after a car crashed into it in June.
Statue and pedestal were to have been returned Monday -- when stonemason Flemming Brian Nielsen found it missing.
Copenhagen police didn't immediately respond to queries about the investigation on Friday.
Gadegaard said selling the statue would be difficult but he feared the bronze could be melted.
"That would be a total disaster," he said.
The King David statue, by Danish sculptor Jens Adolf Jerichau, has been standing at the entrance to the cathedral since 1860.
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