The masked man entered The Corner Shop, in Quarry Street, Coatbridge, and demanded money at about 10:05 on Saturday.
The robber made off empty handed but a female member of staff was left badly shaken by the incident.
The suspect is described as white and aged 24 to 35. He was wearing a blue hooded jacket and was carrying a bag.
Officers are collecting CCTV footage and carrying out door-to-door inquiries.
Det Con Scott McCracken said: "Our inquiries so far have revealed there were people around the shop at the time of the incident.
"Coatdyke train station is also very close to the shop and we believe there were several people waiting for trains.
"I am appealing to anyone who may have been at the station and who got on a train prior to police arrival to contact us, they may have vital information which could assist our investigation."
Police are hunting a man who threatened a shop worker during an attempted robbery in North Lanarkshire.