Assange's lawyer, Per Samuelson, told The Associated Press that he had filed a criminal complaint with an affidavit by Assange to police at Stockholm's Arlanda Airport.
The move comes a day before President Barack Obama's visit to Sweden.
WikiLeaks spokesman Kristinn Hrafnsson said similar complaints would be filed in other countries, including Germany and Denmark, alleging potentially unlawful U.S. intelligence operations against Assange.
"It's time to confront it and fight back on all fronts," Hrafnsson told the AP.
The affidavit, which was published by WikiLeaks, claims the suitcase contained laptops with WikiLeaks material, including evidence of a "war crime" allegedly committed by U.S. troops in Afghanistan. Assange says it disappeared when he traveled from Stockholm to Berlin on Sept. 27, 2010.
"The suspected seizure or theft occurred at a time of intense attempts by the U.S. to stop WikiLeaks' publications of 2010," Assange said in the affidavit and suggested that Swedish authorities "seek explanations" from members of Obama's delegation during their visit this week.
It was unclear whether Swedish police would open a theft investigation three years after the suspected crime. Arlanda police referred media inquiries to a spokeswoman who didn't immediately return AP's calls.
Samuelson said airport personnel in Berlin and Stockholm had not been able to locate the bag and could not explain how it got lost.
"It was checked in and we have luggage tags and everything," he said. "It's gone without a trace."
WikiLeaks has published tens of thousands of pages of secret U.S. diplomatic and military communications, deeply angering the Obama administration. U.S. Army Pvt. Chelsea Manning, previously known as Bradley Manning, was recently sentenced to 35 years in prison for giving U.S. government secrets to WikiLeaks.
Assange has been holed up for more than a year at Ecuador's Embassy in London to avoid being extradited to Sweden on sex crimes allegations.