Off-duty PC Graham Thomas left the hamster food he purchased to chase the thief at Asda in South Woodham Ferrers, but when he came back it was gone.
Shortly after, numerous pictures of hamsters mysteriously appeared alongside "wanted" posters at his Chelmsford police station.
He said it was "all a bit of fun".
PC Thomas had been picking up food for his pet hamster Chippy, plus some vegetables and beer, when he noticed the shoplifter dashing out of the supermarket.
Leaving his shopping with staff, the officer gave chase.
He said he was annoyed not only to have failed to catch the thief, but to return to find staff had put his shopping in a chiller cabinet -  which was then stolen by another shoplifter.
Asda refunded PC Thomas the Â£18 he had spent, but news of the stolen hamster treats spread quickly among his fellow officers.
"Almost immediately pictures of hamsters started appearing. There was one on my in-tray and several elsewhere," he said.
"Someone drew tears on one of the hamsters and wrote that 'the hamster was the real victim of this crime'.
"I keep thinking one day I'll walk in to find a bowl of hamster food left out for me."
His colleague PC Alan Conran was suspected of being behind the mysterious hamster pictures.
PC Conran tweeted several hamster-related messages after the supermarket incident.
"Colleagues at Chelmsford have been lightly ribbing PC Thomas," he wrote.
However, when asked, PC Conran denied having anything to do with the pictures.
"It's getting quite a lot of interaction on Twitter but it's just a bit of light-hearted fun," he said.
A police officer whose shopping was stolen when he left it to chase a supermarket shoplifter has become the butt of his colleagues' jokes.