The police said the incident took place between 3:00 pm and 7:00 pm local time at the player's empty home in the Madrid suburb of San Sebastian de los Reyes before Benzema and his family returned from Real's 2-2 LaLiga draw against Elche.
The police added that they were investigating whether the incident was connected with the February 2019 robbery Benzema suffered at his home during a match against Barcelona.
There was no information about the value of items stolen.
This was not the first such incident affecting players in Europe. In December, Manchester City and Benfica defenders Joao Cancelo and Nicolas Otamendi respectively were assaulted during robberies at their homes in England and Portugal.
In Spain, Gerard Pique and Ansu Fati have been victims of robberies at their homes during Barcelona games.