The writer, who penned the fantasy novels A Song of Ice and Fire, which the hit HBO series is based on, planned to put scripts from two episodes of the show under the hammer at the sci-fi WorldCon event later this week (beg15Aug11).
But after he had the screenplays sent over for him to sign, he discovered both manuscripts had been stolen.
In a post on his blog, Martin writes, "The US post office delivered the envelope in a plastic baggie with a pre-printed note apologising for the 'damage', but this was no error in handling. The envelope was torn open at one end, and both scripts were gone... I am convinced the scripts were stolen.
"Like (character from the books) Bloodraven, I have a thousand eyes and one. So let's keep 'em all peeled, boys and girls."
The show has been signed up for a second season and stars Sean Bean, Mark Addy and Michelle Fairley.