A security guard discovered it was missing when opening the museum Thursday morning. The museum was closed Thursday while the theft is being investigated.
"This picture was unscrewed. It wasn't ripped down," Marseille state prosecutor Jacques Dallest told reporters. "That suggests at least a little bit of organization... It's not necessarily the work of a great professional either."
The small pastel, dominated by hues of pink, orange, red and yellow, features a group of singers on stage in varying expressions. Some have their hands extended, or over their chests. The drawing dates back to 1876-77 and is worth euro800,000, France's national museums authority said.
The famed Musee d'Orsay in Paris, known for its Impressionist works, had lent the picture to the Marseille museum for an exhibition, the officials said.
No other details were immediately available.
