They say it contains personal belongings of sentimental value.
Emergency services were called at around 9.45pm on Sunday after reports that two people had been recovered from the water.
Coastguard Rescue Teams from Newquay, Padstow and St Agnes were tasked to the scene, along with Newquay RNLI lifeboats, the Coastguard rescue helicopter, Devon and Cornwall Police and the South Western Ambulance Service
Despite the efforts of emergency services, a woman in her 30s and a man in his 60s, both from Doncaster and father and daughter, were pronounced dead at the scene.
In an update, police say the woman had entered the water carrying a handbag described as orange or peach in colour, with a shoulder strap.
The leather-style bag, which is believed to measure around 30cm by 30cm, is thought to contain a number of personal items of great sentimental value to her loved ones.
In a statement, a spokesperson for Devon and Cornwall Police said: "We would like to thank all the emergency service personnel and the public involved in responding to this tragic incident.
"At what is an incredibly difficult time for the family, they would take great comfort in being reunited with these belongings if possible.
We would be very grateful if anyone who finds a bag matching this description could hand it in to Newquay Police Station or contact us, quoting the incident number 50260197209.
Thank you for any assistance you may be able to provide."
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