Police in the English county of Surrey near London said in a statement that they were investigating "a burglary at an address in Oxshott, Leatherhead."
The statement said police were contacted Saturday night "after the occupants of the property came home and discovered a number of items including jewellery and watches had been stolen."
"No threat of violence was involved as the items were discovered stolen retrospectively. Inquiries into the circumstances are ongoing," police said.
England manager Gareth Southgate confirmed after the victory over Senegal that Sterling has been released, with no return date set, but sources have told ESPN the Chelsea winger is hopeful of playing some further part in the tournament once he has spent time with his family.
England will face France in the quarterfinal stage on Saturday at the Al Bayt Stadium, where goals from Jordan Henderson, Harry Kane and Bukayo Saka saw Southgate's side cruise to victory against Senegal following a cagey opening.
The FA confirmed Sterling was "dealing with a family matter," and following the match, Southgate said: "Raheem, as our statement says, is having to deal with a family situation so he's going back to England. 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 are going to give him that space.
"It didn't impact team selection. I spent a lot of time with Raheem this morning. You know you have days where events happen, and you have to deal with them. He is on his way home, and we're obviously mindful of him being allowed space and privacy respected so we aren't going to talk in too much detail.
"Of course, it is 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. I needed to look after the situation and then I had to pass that onto others to deal with this afternoon in order to get him home."
England captain Kane said of Sterling: "Our thoughts are with him and his family. It's a private matter, but it's never easy to see one of your teammates and friends deal with something like that.
"We'll have to take it day by day. I'm sure Raheem will speak to the manager and take the best decision for him and his family. That's the most important thing. We send him our best wishes and hope to see him as soon as possible."
Information from The Associated Press was used in this report.