The Co-op store in Eye was targeted at just before 9pm on Friday.
Police were called to the scene but the suspect has already fled.
A spokesperson for Cambridgeshire Police said: “We were called at 8.45pm on Friday (13 May) to reports of a robbery at a store in High Street, Eye, Peterborough.
“Officers attended but the suspect had left the scene.
“A crime has been raised for attempted robbery and an investigation is ongoing.
"Anyone with information is urged to contact police online or via 101 quoting reference 35/33606/22.”
Peterborough MP Paul Bristow paid a visit to shaken staff members on Saturday, praising their “attitude and resilience.”
He said: “I was upset to hear about the attempted robbery at knife point at the Co-op. I was so impressed with the attitude and the resilience of the team - thoughts & prayers with them.”