The 13 metre tall goat, a Christmas tradition in the town of Gävle since 1966, went up in flames just hours after it was inaugurated on Sunday.
Swedish Radio's local channel in Gävle reports that a witness on a bike saw an object thrown at the goat, which quickly caught fire.
One of the security guards ran after the person who threw the object, but did not get hold of him.
Security had been stepped up to mark the fiftieth anniversary of the Christmas goat, with round-the clock security patrols and camera surveillance.
However, just after 11 pm, the Goat was in flames.
One of the security guards, Lisa Lingvall, tells Swedish Radio that the attack happened while her back was turned.
"I felt the heat on my back and saw that the goat was in flames."
Over its 50-year history, the straw goat rarely survives the holiday season and has been attacked over 30 times.
Each year the town authorities set up guards or spray the straw with anti-inflammables in efforts to preserve the goat until after Christmas.
Originally, the Gävlebocken spokesperson at the local council, Maria Wallberg, said the Goat would not be rebuilt this year.
"This feels a bit unbelievable. It feels incredibly sad after we had a fantastistic celebration," she told Swedish Radio.
But in a press statement at lunchtime on Monday, she said that they will look into whether it is possible to put a new one together on short notice.
"We want the Goat to live more than a few hours. Now we will see if it is possible to build a new one and what it could cost," Wallberg wrote in the statement.
The police have now launched a preliminary investigation of aggravated criminal damage.