I have heard two variations of this story before.
When my dad was working years ago at the Marine Biological Laboratory in Wood’s Hole, I heard from a grad student the following story:
"I was working on [a rare type of fish, can’t remember name], and there was a tank of them in the Aquarium in the lab.
One day, I noticed one of the fish was missing. I went over the notes, no question - one was just gone.
The next day, another was missing. I was getting pissed off.
The next day, another gone - I was getting alarmed. So, I arranged with the staff to stay the night in the aquarium and confront the nocturnal thief.
I hid behind a large tank, and when the main lights went out there was still enough light filtering from various places to see the following bizzare event:
The tank next to the [rare fish] tank held a large octopus. As soon as the guard locked the door, a tenticle reached out and unlatched the top lid of the tank. The octopus then crawled out of the tank, and into the [rare fish] tank, where it gobbled another fish.
Its meal over, it crawled back into its own tank - and latched the lid over itself, where it rested, looking innocent.
The next day, the “disappearing fish” problem was solved by the simple expedient of putting a paddlock on the octopus tank."
Another version of the same story appeared in a National Geographic Special on Octopuses.
Either this is a relatively common occurance, or it is a laboratory urban myth.