They say it could threaten the lives of mountaineers because they each have a set supply for weather and traffic-related delays, as well as for the descent.
The concerns have been raised as the last groups of mountaineers wait for the weather to clear for their final push to the summit.
Experts say crowds of mountaineers, with many inexperienced climbers and unqualified guides, have also contributed to the situation.
"It is becoming a serious issue up there," Nima Tenji Sherpa, a mountain guide just back from Everest, told the BBC.
"I kept on hearing from expedition groups that their oxygen bottles had disappeared and that could be life-threatening - particularly when they have used up what they are carrying on their way up and they are still not on the summit yet, or they plan to use the stocked bottles on their way back."
Foreign climbers have posted about the theft on social media.
"Another seven bottles of oxygen have gone missing from our supply," wrote expedition leader Tim Mosedale on Facebook last Monday.
"This time from the South Col (camp four, the last camp before Everest at 7,900m)."
"Thankfully Pemba, having summited Lhotse yesterday, had enough energy to go to the South Col and check our supply and report his findings.
"But will it still be there when we arrive in a few days or will a few more bottles of magic air have gone missing?"