Ben Weyts, minister of mobility for the Dutch-speaking region of Flanders, had locked his bike to a rack at Halle railway station, south of Brussels, a spokesman said.
But when he returned half an hour later, he found it had been stolen.
The minister then had to call his driver to pick him up from the station, the spokesman added.
Mr Weyts now hopes CCTV footage of the area will help police identify the suspect. On Twitter, he posted a link to a report in which police announced they would increase patrols and cameras in the station.
In the news conference, he announced a plan to invest â‚¬300m (Â£254m; $316m) in cycle lanes until 2019, as part of a programme to promote alternative transport. He unveiled it wearing a cycling shorts and long shirt.
Cars are the main way of commuting to work in Belgium, and the country has some of the worst road congestion in Europe.
A Belgian minister who cycled to an event to announce investment in bicycle lanes had his own bike stolen.