Madonna Says Her Clothes Went Missing at Coachella, Calls Cops

Madonna's hung up ... because her clothes have allegedly disappeared after her surprise Coachella appearance this weekend.

In an Instagram story posted Monday, Madonna said she was "flying high" after performing a new song from her upcoming album "Confessions II" in a "full circle moment" ... but the mysteriously missing costumes put a damper on the weekend.

Sources familiar with the situation tell TMZ ... the iconic artist has filed a police report over the missing garments.

She said the vintage pieces she wore -- including her jacket, corset and dress -- have vanished ... as well as some other pieces "from the same era."

She crashed Sabrina Carpenter's headlining set Friday night for a surprise performance ... but the pop legend says some of her archival items have since disappeared.

The singer wrote ... "These aren't just clothes, they are part of my history."

She penned a plea to her 20 million followers, adding ... "I'm hoping and praying that some kind soul, will find these items and reach out to my team" -- and provided an email address.