Hong Kong police are hunting a girl aged between 12 and 14 years old over the theft of a diamond necklace worth more than HK$36 million ($A5.7 million) from a luxury jewellery store.

Police say she helped carry out the audacious theft with two women and a man, all aged between 30 and 40.

The adults "pretended to be customers choosing items from the shop" police said, while the girl stole the necklace.

The gang of four then left the store before a staff member realised it was missing.

The necklace was 100-carat gold embedded with more than 30 diamonds, the South China Morning Post said.

The young girl managed to steal a key from a drawer to open a cabinet while staff were distracted, the SCMP said, citing an unnamed police source.

"The three adults posed as big spenders and demanded employees show them jewellery in an apparent move to divert staff attention," the source said.

Local media reported that the theft was from the Emperor Jewellery store in the Tsim Sha Tsui shopping district.