The Labour MP said during her speech at the event that the UK had been "gripped by an epidemic of anti-social behaviour, theft and shoplifting".
Warwickshire Police have confirmed officers were investigating a report of theft of a purse at the hotel between 11am and 1.15pm on Tuesday (September 10).
A 56-year-old man from Coventry has been arrested on suspicion of burglary and had since been released on bail while enquiries continue.