Sterling missed England's 3-0 win over Senegal to fly back to the UK.
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Surrey Police confirmed they were investigating the break-in and said no threat of violence was involved.
In a statement, the force said: "We are currently investigating a report of a burglary at an address in Oxshott, Leatherhead.
"Police were contacted just before 9pm on Saturday December 3rd after the occupants of the property came home and discovered a number of items, including jewellery and watches had been stolen.
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"Inquiries 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. Inquiries into the circumstances are ongoing."
Gareth Southgate confirmed that Sterling would be heading back to the UK as family was a priority.
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Speaking after the game, Southgate told talkSPORT: "I had a long time with him this morning working out how best to deal with everything. He's going to go home tonight, he's probably on his way home.
"The priority is his family and we've got to be able to give him he space to sort things out there, then we will see if he's able to come back."