The Spanish beauty jetted in to the British capital from Madrid to attend a glamorous event at the city's Somerset House with her Broken Embraces director, Pedro Almodovar.
Instead of donning a full-length gown for the glitzy bash, Cruz was forced to pull on a red suit she kept in her hand luggage - after the airline she was travelling with misplaced her bags.
But she wasn't fazed by blending in with the garish red carpet, and seemed more concerned with the unpredictable English weather.
She told reporters at the event, "I looked up at the sky and said, 'Don't you rain on me - I'm Penelope Cruz!'.
However, filmmaker Almodovar was sure a conspiracy was at work - he is convinced an avid fan is behind Cruz's missing possessions.
He tells Britain's Daily Mail newspaper, "'I think it's a plot. I think someone take it (sic). They bring it with him or her to home (sic). I think it was stolen for a fetishist.".