Until late October, the creature's carcass was kept in a warehouse in northern Yakutia, in eastern Siberian, near the site where it was discovered. However, after a cold snap the remains were transported to a warehouse in the nearby Chersky settlement, where they mysteriously disappeared the following day.
The search, conducted by officers from Yakutia's anti-organized crime unit, scientists and local authorities has yet to yield results.
The source said the carcass was a unique discovery, not least because the body of the prehistoric herbivore was almost completely intact.
The woolly rhino survived until 10,000 BC on snow-covered steppes between Western Europe and Siberia. It had long, shaggy fur and two horns - one between the eyes, the other on the end of its snout. The latter horn could grow up to one meter (3 feet) long in mature males.
The wooly rhinoceros was between three and four meters (10 - 13 feet) long, and weighed as much as 2-3 metric tons (7,000 - 9,000 lbs).