Officials said the damage was done sometime Wednesday evening during campus last day of classes celebrations.
The holes are all 5 to 10 inches in diameter. The windows are all on the lectern side of the main aisle, representing, respectively, the Wise Men on their way to Bethlehem, Jesus upon a pinnacle, and the Transfiguration.
An investigation is underway.
"The Chapel is our most important and visible symbol, and this sad, stupid act is an insult to every member of the Duke community. We are doing everything we can to understand what happened, and identify the responsible individuals," said Duke President Richard H. Brodhead in a statement.