The Prado, which has one of the largest collections in the world, has some 27,509 pieces on its inventory, a report by Spain's Audit Court shows.
However, the museum is unable to find 885 items of those pieces, according to the audit.
But the institution itself is not overly concerned, Spain's El País newspaper reported.
They say many of them could have been destroyed by fire, or even lost during wars.
A large share of the missing pieces might also have been "left behind" when the Prado's collection merged with the Trinidad Museum collection in the 19th century, a museum spokesperson said.
But the museum said that unless there was factual evidence, "we cannot remove them from the inventory".
The Audit Court conceded that no one could be held responsible for the missing art, but urged the museum to keep up the hunt.
The court also noted the museum didn't have enough staff to properly manage resources, and said the institution should publish regular updates on the state of its collection.