Someone in Scheana Shay's neighborhood ain't living by the Vanderpump Rules ... 'cause she says her car was parked right out front her home last night -- and, now it's gone.

The reality television star posted a video to her Instagram Friday ... saying everyone told her how safe the San Fernando Valley supposedly is -- and, yet, her 2009 Nissan has up and vanished.

She says she parked it on the street Thursday night -- even though her husband, Brock Davies, recently installed a security gate in their front yard -- 'cause she figured it was perfectly safe in the neighborhood.

Friday morning rolls around ... and, it seems the car rolled out of the neighborhood -- with just a bit of broken glass left behind.

And, to all those fans thinking Scheana just needs to check her cameras ... check out the clip -- sounds like SS may want to invest in a security system with a better radius.

Law enforcement sources confirm to TMZ ... Scheana went to an LAPD Station this morning after finding her 2009 Nissan 370 Z gone. The car was put in the system as stolen and the case is now under investigation, we're told.

Shay moved out to the Valley back in March ... sharing the news on her Instagram Story with movers bringing boxes into the new abode she and her husband bought for their growing family.