"Lively crowd @liverpoolphil last night - shame our tour bus was nicked from outside the venue! So gig not too bad all things considered," he tweeted.
The comic's manager said two thieves broke into the production room to steal two laptops and car keys.
They fled with a Mercedes Sprinter Splitter van containing crew suitcases and Bill Bailey tour merchandise.
The comedian also posted a message on Facebook saying: "Scousers, keep 'em peeled...
"At 2.30pm yesterday afternoon (Mon 26th October) two thieves entered the Liverpool Philharmonic via a wedged open side door and broke into the production offices for Bill Bailey's live tour, Limboland."
The van was parked in the theatre car park.
A spokesman for the performer said the show went on "regardless of the chaos this has caused to our tour".
She added it had, "sadly tainted our visit to the good city of Liverpool".
The comedian's Limboland tour continues later in Cardiff.
A Merseyside Police statement said: "Merseyside Police can confirm that yesterday (Monday, 26 October), officers received a report that a Mercedes Sprinter van was stolen from the car park of the Royal Philharmonic Hall, Hope Street, Liverpool, at around 14:30 GMT.
"Officers believe keys for the van were stolen from an office at the location."
It added the force was studying CCTV evidence.
Comedian Bill Bailey had his "tour bus" stolen before he performed at the Liverpool Philharmonic Hall.