In a tweet Grant pleaded with them to "at least" return a script which "contained weeks worth of notes".
The bag, which was stolen on Sunday evening, may have also contained his children's medical cards, he said.
Grant asked for the items be returned to Coach Films at Ealing Studios, Ealing Green, W5.
In a tweet, he said: "In the unlikely chance that anyone knows who broke into my car tonight and stole my bag, please try and persuade them to at least return my script.
"Many weeks worth of notes and ideas. And perhaps my children's medical cards."
