The 27-year-old, named only as Chloe, has not been seen since leaving the Courtyard pub in Silver Street at around 10.30pm on Monday night.
She is then believed to have walked to a taxi rank in the town centre at around midnight.
She has not been seen or heard from since and officers are growing concerned for her welfare.
She is described as white with long dark hair. She is believed to have been wearing blue distressed jeans with a mustard coloured top, black leather jacket, black ankle boots and was carrying a black and beige River Island shoulder bag.
A South Yorkshire Police spokesman said:Have you seen her? Do you know where she might be?”
If you can help, please call police on 101 quoting incident number 354 of 5 January.