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An armed robber fled empty-handed when staff at the Santander Bank, Burgess Hill refused to hand over any cash.
The man walked into the branch in Church Road just as it was closing yesterday afternoon and threatened staff with a gun.
He tried and failed to get behind the front counter, and ran out of the bank empty-handed.
The gunman is described as of mixed race, approximately 6ft and was wearing a scarf and a black beanie hat with a peak, black shoes and blue jeans. He had a south London accent.
Detective Sergeant Karrie Bohanna of Mid Sussex CID said: "Thankfully no-one was injured during this incident and no money was taken.
"Officers are conducting searches of the area and CCTV is being checked. We would like to hear from anyone who saw the incident or saw the man leaving the scene."
Anyone with information is asked to contact Sussex Police or the independent charity Crimestoppers anonymously on 0800 555 111 quoting serial 1111 of 21/1.