Dominique Metzger from the Todo Noticias (TN) network said she was dancing with football fans while broadcasting from the Corniche area of Doha ahead of the first match on Sunday.
While the alleged theft was not caught on camera, Ms Metzger said she was convinced it was during the live cross when someone opened her bag and took her wallet.
The journalist told her network that her wallet was stolen, in which she had credit cards, money and documents.
She filed a complaint at a police station in Doha - in a separate area for women only - and was told that the Corniche area was under camera surveillance, TN reports.
While being inerviewed about the incident on TN, Ms Metzger said that officials had promised to identify the suspect, and said she could choose punishment for the alleged thief.
Ms Metzger said she was shocked by this response from police.
“They told me, ‘What do you want justice to do about this? We will find the wallet... We have cameras everywhere, high-tech cameras and we will find the thief with face detection technology. What do you want justice system to do to them when they are found?’
Ms Metzger said she asked the police officers what they were talking about. They responded by asking her: “’Do you want us to sentence him to five years in prison, to be deported?’ He asked me to make the decision.
“I told them I just want my wallet back, I won’t be making the decision for the justice system,” she told TN.
A number of reporters covering the World Cup have run into issues with security authorities in Doha.
Denmark reporter Rasmus Tantholdt was live on air when he was approached by security staff who tried to stop the broadcast and threatened to break his camera. World Cup chiefs have since apologised.
Meanwhile Irish journalist Tony O’Donoghue said he was stopped by police while filming a piece to camera, and blamed poor communication between tournament organisers and security officials.
Security and surveillance in Doha has been ramped up for the World Cup.
The Telegraph reported that fans are being monitored by 20,000 cameras with facial recognition technology across the eight sadiums, making this tournament the most heavil surveilled of its kind.
Fans will be monitored from the moment they enter the stadium area to their departure and all over the tiny Gulf state, local organisers told the Telegraph.