Roy Sagota, the owner of R J Discount Warehouse has spoken of his concern after the break-ins between February 12 and the most recent on Monday.
Mr Sagota said that when he called police in the early hours of Monday after being alerted to a potential break-in, he was told there was not anyone free to attend and to go inside and call back if he came across a burglar.
West Midlands Police has now said incorrect advice was given and "learning will be taken".
Mr Sagota said: "I rang 999 and they said 'I'm sorry we can't send somebody out you'll have to go in yourself'.
"We're very very frightened. The van was stolen on the 19th March in the day time.
"They've taken a lot of cash and damaged offices the previous times they've broken in.
"It's very very stressful and we are very worried and scared all of us as they're not going away.
"We are open, it's just every time they break in we have to get people to come and seal it up.
"There's a lot of crime around this area, other people are being targeted too.
"Shoppers will be put off coming here after a while."
A spokeswoman for West Midlands Police said: "We are investigating four burglaries reported at RJ Discount, The Shambles, Wednesbury, between 12 February and 19 March.
"Enquiries are on-going, including an extensive trawl and review of CCTV footage from around the location and officers are continuing with regular patrols in the area.
"We do not advise members of the public to put themselves at risk of encountering an offender when they report a crime to us.
"However we do sometimes ask for further information or details about the incident if that would not put the caller in danger.
"On this occasion however incorrect advice was given to the caller and learning will be taken from this."