They add that they believe the bank was obliged to consult them about the move, and that they are now willing to take legal action in a bid to get the master tapes returned to Paisley Park.
Prince's older half-sisters say the executor of the estate didn't tell them the music would be moved before it was shipped last month. Sharon told the AP that hearing that Prince's vault was being emptied of its archive was "just as though Prince passed away again".
The move to Iron Mountain gained a vote of support from Dave Hampton, who's previously been technical director at Paisley Park and with Hancock Music in Los Angeles.
"We want the music back home in Paisley Park where it belongs", Sharon Nelson said. "I was really devastated by that".
If the Nelsons challenge Comerica's decision, the legal wranglings could further delay the release of any music from the vault, extending a probate case that has already dragged on for more than a year and a half.
Prince left no will when he died in April 2016 of an accidental overdose of painkillers. "On four separate occasions, Comerica discussed the process with the heirs and any suggestion otherwise is not accurate". He didn't have a will so a judge ruled in May that the musician's six surviving siblings would be heirs to his estate. One consists of the Nelson sisters and their brother John, and the other includes Prince's full sister Tyka Nelson and half-brothers Omarr Baker and Alfred Jackson.
Comerica are required to give Prince's heirs 14 business days notice before making transactions worth more than $2 million and the sisters argue that this should have applied to their act of moving the vault's contents.
The bank told the Associated Press that: "After reviewing the storage conditions at Paisley Park and out of concern regarding the consequences of a fire or other loss at the facility, Comerica determined that it was necessary to transfer the audio and visual content to a secure location where all of the original content could be securely stored and digitised as a safeguard against the destruction or loss of any original content". It said: "In an effort to ensure the preservation of Prince's audio and visual content, Comerica selected the premiere entertainment storage and archive company, Iron Mountain Entertainment Services".