Police are investigating the sinking of a 22-metre power boat at the prestigious Royal Motor Yacht Club in Sydney Harbour.

Police were called to the club's Rose Bay marina about 4am today, after reports of the boat's sinking.

No one was on board at the time it went down, police said.

The boat belonged to high profile accountant Anthony Bell, the Seven Network reported tonight.

Salvage operations were now under way, with police divers at the scene investigating the cause of sinking.

Anyone with information about the incident has been urged to phone NSW Marine Area Command on 9320 7499.

AAP