"She said 'Your home has been broken into and your safes are gone' - then I knew my sentimental items had gone out the door.
"It (the prequel) was something I have been responsible for for nine years - it's a bit of a shock and it took a little while for it to settle in."
West Midlands Police have issued a plea for information in the hope that "the appeal goes far and wide among Harry Potter fans throughout the world."
Investigating officer Police Constable Paul Jauncey said: "The only people who will buy this unique piece are true Harry Potter fans.
"We are appealing to anyone who sees, or is offered this item for sale, to contact police."
Responding to news of the theft, JK Rowling retweeted a message issued by West Midlands Police appealing for information and featuring a picture of the short story.
The writer said: "PLEASE DON'T BUY THIS IF YOU'RE OFFERED IT. Originally auctioned for @englishpen, the owner supported writers' freedoms by bidding for it."
The prequel was among several works donated by authors, including Sebastian Faulks and Doris Lessing, to an auction held in 2008 to raise funds for English PEN, which promotes understanding through literature, and Dyslexia Action.