A Thames Valley Police spokesperson said: “We are investigating a burglary at a property on the Crown Estate in Ascot at around 6.30pm on Saturday.
“Officers are conducting a thorough investigation and ask anyone with information, or if they saw anyone in the area acting suspiciously, to contact police.”
It is at least the third time that Sterling has been targeted by burglars.
He left England’s camp at the 2022 World Cup in Qatar when his family home was robbed shortly before the quarter-final against France.
Three burglars who targeted the homes of “high-wealth individuals”, including Sterling, were jailed in 2020 for a series of raids.
Sterling joined Chelsea from Manchester City in 2022 and spent last season on loan at Arsenal.
He failed to secure a move away from Stamford Bridge in the summer and has been training separately from Chelsea’s first-team squad this season.