It all went down when Will was in Bardot nightclub -- Will claims he left the car with the valet ... but when he went to retrieve the ride at the end of the night, nobody would give it back to him.

Will tried to explain the situation ... "I gave my car to the valet people ...and then I came out here and the valet is closed."

"Instead of flipping out, because I should flip out because the car cost several hundred thousand dollars ... I'm trying to stay calm."

Will eventually got in a waiting black SUV and left the scene ... but it doesn't seem like he ever got the car back ... 'cause a little while later he tweeted, "My car was stolen...what the f*ck."

He added, "I'm going to be optimistic and pray that my car is returned and safe."

We spoke to the LAPD who told us no stolen vehicle report was filed by Will.i.am and they never got a call to that area reporting a stolen car.