The pictures, two lithographs by Warhol and three by Lichtenstein, were together estimated to be worth between 3 million and 4 million Swedish crowns (250,000 and 335,000 pounds), said Carina Aberg of the family-run Aberg Museum.
She said the thieves spent less than 10 minutes in the building.
"They knew exactly what they were doing. They had been here and planned the whole thing," she told Reuters.
She said the Warhol works stolen were entitled "Mickey Mouse" and "Superman", from a series known as "Myths".
The Lichtenstein works taken were "Crak", "Sweet Dreams, Baby!" and "Dagwood".