Entry was gained after a lock was forced at the building where the ammunition was being held.
The items were at a transit facility, navy logistics commander Captain David Proctor told NZPA.
"Items are only held in a transit facility for a very short period while they are being processed, packaged for distribution elsewhere or receipt from elsewhere.
"We will review the security around that and the processing around it to ensure we can avoid such an occurrence in the future.''
Capt Proctor said the navy was "clearly concerned'' the theft was not discovered until Monday but would not say if an alarm was triggered.
"The facility at Kauri Point is safe, I wish to assure the public of that.
"We have undertaken a review of our processes and security and have done everything we can to avoid an occurrence happening into the future. What happened shouldn't have happened.''
Anyone who found any of the stolen pyrotechnics should call police, Capt Proctor said.
- NZPA