Police said the goat, which had been under increased security following previous arson attempts, burned just before midnight Wednesday, Swedish news agency TT reported Thursday.
"We haven't arrested anyone," Gavle police duty officer Johan Fredriksson said. "Personally, I think this is a shame. It's fun that the goat is so famous but it would also be nice if it could be left alone."
The goat has frequently been burned by arsonists in previous years.
Police said they have opened a vandalism investigation into the burning.