The raid took place back in 2015
The woman claimed one of her safety deposit boxes had been stolen and she only realised it was missing after the trial of the gang who carried out the raid two years ago.
The claim which is being treated very seriously by the police, would mean the total amount stolen in the heist stands at around £21m.
Seven men were convicted last year over the Hatton Graden Safe Deposit break-in and were jailed for terms of six and seven years.
The gang ransacked 73 safe deposit boxes after using a drill to bore a hole into the vault wall during the meticulously-planned heist where they took gold, diamonds and sapphires.
Speaking about the situation Sky's crime correspondent Martin Brunt said they are taking her claims seriously.