Dozens of residents in Kinson, Northbourne and West Parley heard a loud 'explosion' just after midnight last night.
The Echo has been flooded with messages from readers who heard the 'very loud bang', which was not repeated.
One reader wrote 'just heard the loudest bang, my hair is still standing up!'.
Another said: "What was that explosion at midnight! Loads of people are really worried as it was heard over such an expanse."
There was no scheduled night firing at Lulworth last night. The last time a mysterious bang caused panic across the county it turned out to be two Eurofighters responding to an emergency.
Police said they received a call at 12.23am from one resident claiming the noise "sounded like a bomb".
"We didn't receive any other calls," the spokesperson said. "We called the fire service but there was nothing to investigate."