About 40 people believed to be from Romania had been living in the camp for four days, Radio France Internationale reported.
When police arrived Thursday night, all of those in the camp were gone. No one was arrested and no one was injured.
People who lived in the area claimed the immigrants were responsible for several recent burglaries.
A woman said residents had complained to the police and mayor but were told authorities could not yet intervene.
"'Sort out the problem yourselves,' we were led to understand. Fine, that's what we did," she said.
Several illegal Roma encampments were ordered dismantled over the summer by Interior Minister Manuel Valls. The immigrants were given cash and put on flights back to Romania and Bulgaria.
The incident in Marseille worried a local human-rights activist.
"We have crossed another line. No one was hurt, but I fear worse in the future," said Bernard Eynaud, president of the local branch of the Human Rights League. He compared it to past incidents of mob violence in Marseille against North African immigrants.