The former Manchester City centre-back, who started in Sunday's 4-1 league win at Famalicao, was with his family in his house located in the city of Almada when the intruders broke in.
"The player and his family are doing well, despite the enormous discomfort caused by the situation they have experienced," Benfica said in a statement.
Benfica did not give any further information on the incident but Portuguese media reported it was a "violent robbery," as four individuals broke in and assaulted Otamendi in front his family before stealing money and watches.
The Lisbon-based club requested for the player's privacy to be respected as it awaits the outcome of the investigation opened by the authorities.
Otamendi won two Premier League titles with City in his five seasons at the Etihad stadium before he joined the Portuguese giants in September 2020.
The 33-year-old won the Copa America with Argentina in July.