England manager Gareth Southgate said on Sunday night the Chelsea star had returned to the UK from the team's World Cup camp in Qatar to be with his family.
A statement from Surrey Police read: "We are currently investigating a report of a burglary at an address in Oxshott, Leatherhead.
"Police were contacted just before 9pm on Saturday, December 3 after the occupants of the property came home and discovered a number of items including jewellery and watches had been stolen. Enquiries to establish the circumstances are under way and the investigation is ongoing.
"No threat of violence was involved as the items were discovered stolen retrospectively. Enquiries into the circumstances are ongoing."
The news of the break-in led to Sterling being unavailable for Sunday night's 3-0 victory over Senegal, which has taken England into the World Cup quarter-finals.
It is not yet clear whether the 27-year-old will return for Saturday's match against France, with Southgate admitting he and everyone else would have to "wait and see" regarding Sterling's availability.
"Raheem, as the FA statement says, is having to deal with a family situation, so he's going back to England," the England boss said in the press conference at Al Bayt Stadium.
"We've got to give him time to try to resolve that or be there for his family. That's the most important thing at this time, so we're going to give him that space.
"It didn't impact team selection. I spent a lot of time with Raheem this morning, but you know you have days where events happen and you have to deal with them.
"He's on his way home and, yeah, we're obviously mindful of him being allowed space and (having) privacy respected, so we don't want to talk in too much detail.
"Of course it's not ideal for the group ahead of a big game, but it pales into insignificance - the individual is more important than the group in those moments.
"So, I needed to look after the situation and then I had to pass it on to others to deal with this afternoon in order to get him home."
England captain Harry Kane sent his best wishes to Sterling at the man of the match press conference in Al Khor.
"Our thoughts are with him and his family," he said. "It is a private matter with him, but it's never easy to see one of your team-mates and friends have to deal with something like that.
"We will take it day by day and take the best decision for him and his family.
"From us as a team we send him our best and hope to see him as soon as possible."
The Football Association offered extensive security guidance to players before leaving for Qatar and has an experienced security team on hand to advise and provide support as and when needed.