The Swiss defence ministry said a check on ammunition supplies last week had led to the discovery, according to newspaper reports.
It said the investigation had begun last Friday and had so far produced no results.
Army spokesman Daniel Reist could not say what type of explosives were affected.
“We don't know what they are and how much is missing. It could be grenades or explosives,” he told the Blick newspaper.
Reist said the materiel could have been stolen or a problem could have occurred in loading the ammunition crates. The discrepancy could also have been caused by an accounting error.
Incidents like this were “rare, thankfully”, Reist told 20 Minuten online.
In 2012, 12 hand grenades were stolen from a recruit school in the canton of St Gallen.
A 22-year-old recruit was convicted of the theft two years later. He had replaced the hand grenades with stones.