Officials say the works were taken from the Musee d'Art Moderne, which is across the Seine River from the Eiffel Tower, overnight on Wednesday.
Museum staff found the paintings missing when they arrived on Thursday morning, along with a broken window and a sheared-off padlock.
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A single masked intruder was caught on a video surveillance camera entering the museum by a window and taking the paintings away, according to the Paris prosecutor's office.
Besides the Matisse and the Picasso, works by Georges Braque, Ferdinand Leger and Amedeo Modigliani were also stolen.
The paintings were Le pigeon aux petits-pois (The Pigeon with the Peas) by Pablo Picasso, Pastoral by Henri Matisse, Olive Tree near Estaque by Georges Braque, Woman with a Fan by Amedeo Modigliani and Still Life with Chandeliers by Fernand Leger.
Detectives are investigating the theft, and have cordoned off the museum.
