The female nude, Danae, pictured, which Austrian artist Egon Schiele painted when he was just 19 years old, had adorned the cover of the catalog for the sale and was the background image on Sotheby's Twitter account.
Sotheby's was tight-lipped on what happened, confirming only that it had been withdrawn at the request of the consignor.
Simon Shaw, co-head of impressionist and modern art, earlier described it as the artist's first large-scale nude and Schiele as "one of the great rock stars of modern painting."
Sotheby's holds the auction record for a work by Schiele, set in 2011 at US$40 million. The sale fetched a total of US$173.8 million, well short of Christie's haul of US$289 million at its impressionist and modern art evening sale on Monday.