Park spokesman Torben Planks says the alarm did not sound when the jewelry disappeared Saturday morning.
"The showcase has not been broken into and the alarm didn't go off," Plank said, adding police were investigating the theft. "It is pretty embarrassing."
A €1,000 ($1,380) reward has been offered for information leading to the retrieval of the necklace.
Exhibition owner Luis Ferreiro said the necklace has an insurance value of €14,000 ($19,300) but he doubted it could be sold because it is known internationally.
"It was very important piece. The artifacts tell stories about the people aboard," Ferreiro told The Associated Press.
The Titanic sank in the North Atlantic on April 15, 1912, while making its maiden voyage. More than 1,500 passengers and crew perished.
The temporary exhibition at Tivoli park includes fine china, ship fittings and other artifacts from the famed shipwreck.