Officers from two forces tried to stop the car, believed to be an Audi, but the suspects got away.
The burglars broke into the Spar store in Caersws at around 4.30am yesterday. Two men forced their way into the store and stole a large quantity of cigarettes.
Shortly afterwards, officers spotted a suspicious car at Newtown bypass and attempted to stop it.
Temporary Detective Sergeant Steve Williams said that the car failed to stop and a pursuit from Abermule to Shrewsbury took place.
The pursuit carried onto the A5 and M54.
"West Mercia Police assisted with the pursuit but the suspects got away," he said.
“Any information members of the public can give us about this incident would be a great help to the investigation team. We believe they have travelled into our area to commit this crime and we are very keen to prevent this from happening again.”
Anyone with information that could help officers with their investigation is asked to report it to Dyfed-Powys Police, either online at http://bit.ly/DPPReportOnline, by email at: email@example.com, or by calling 101.
Alternatively, contact Crimestoppers anonymously on 0800 555111 or at crimestoppers-uk.org