New York diamond cutter Isaac Wolf had outbid rivals for the gemstone, called the "Pink Star", in the Geneva auction conducted by the company.
But, "as a result subsequent buyer default," Sotheby's was forced under its auction contract to buy back the diamond, which is 59.60 carats.
It listed its "inventory" value as $72 million.
"Sotheby's has reserved all of its rights and and remedies against the defaulting purchaser," it said in a statement.
The auction house gave no details about the identity of the seller of the diamond.
The Pink Star was discovered in a diamond mine in Africa by mining company De Beers in 1999.
Sotheby's still holds the world record price for a diamond sale, even after the default.
In November 2010 the auction house sold another pink diamond —- the 24.78-carat "Graff Pink" — for $46 million in another auction in Geneva.