The NatWest bank in Lytham Road, South Shore, was broken into under the cover of darkness this morning, police said.
Officers were called to the branch at 4.25am after the alarm sounded, with the force saying the raiders appear to have escaped empty-handed.
One witness said: "I was passing on the bus and I saw that, down the side alley, it looks like there had been an attempted break-in.
"The window had been smashed open big enough for someone to get through."
A spokeswoman for Lancashire Police said: "At this stage it doesn't look like anything has been taken, but we are still investigating."
An investigation has been launched, while a NatWest spokeswoman added: "There was a break-in but in terms of what has been taken we are still trying to work out if anything has."
The branch is closed on Fridays.