While the reason for the accident was not yet known, the Moulin Rouge's director Jean-Victor Clerico said there was no sign of "foul play", adding the cause was "obviously a technical problem".
No-one was hurt and there was no risk of further collapse, Paris firefighters said.
The accident will add to concerns of whether Paris, one of the most visited cities in the world, is ready to host the throngs who will descend on the City of Light during July-August for the Olympic Games.
Hundreds of thousands of people watch the cabaret's daily shows each year, with many more stopping to look from the outside at the landmark at the foot of the Montmartre hill.
"Fortunately this happened after closing" at 1:15 am (2315 GMT), a Moulin Rouge official had earlier told AFP on condition of anonymity.
"Every week, the cabaret's technical teams check the windmill mechanism and did not note any problems," the source said, adding that there was no more information on the reason for the collapse.
"It's the first time that an accident like this has happened" since the cabaret first opened its doors on October 6, 1889, the source said.
Paris police chief Laurent Nunez told broadcaster TF1 that "safety architects" had been sent to the scene.
An AFP journalist saw workers loading the slightly twisted blades of the windmill into the bed of a truck for removal.
The letters M, O and U had also been toppled from the name spelled out on the building's facade.
"I can't believe it," said Exauce, a cook at the cabaret who asked not to give his second name.
He saw the blades on the ground as he arrived for work around 8:00 am.
"It's as if the top had been chopped off the Eiffel Tower, it hurts me," said Daniel, a 58-year-old who said he passes the Moulin Rouge every day on his way to work.
"I hope they repair it soon," he added.
600,000 visitors annually
The Moulin Rouge cabaret, with its distinctive red windmill blades, is located in northern Paris and is one of the most visited landmarks in the city.
Around 600,000 people each year watch its two daily shows held year-round, keeping 450 staff in work.
Known as the birthplace of the modern dance form the can-can, it opened its doors in October 1889 at the foot of the Montmartre hill.
It quickly became a hit and a stop to look at its facade or catch a show inside is a must on most tourists' checklist for the French capital -- especially since the eponymous 2001 film by Baz Luhrmann.
The only serious accident the landmark has endured was a fire that erupted during works in 1915, which forced the venue to close for nine years.
