Police have seized the CCTV footage and an investigation is on.
In what looks just out of a thriller movie, a man, in skin hugging overalls, with his face covered with a mask, is seen entering the room where the deity is kept for darshan. He tiptoes around the deity, finds a spot from where he can reach the umbrella, hanging from ceiling and dismantles it with a knife-like thing.
The man then escapes with the huge, shining ornamental umbrella, which is reportedly made of silver and coated with gold.
The man takes just over a minute to complete the heist.
The Sai Dham, in Hauz Khas, is popular with devotees and everyday hundreds of them line up from early morning for darshan. The building also houses charitable dispensaries, guestrooms and langars.