Dhoni, along with his Jharkhand cricket team, had on Friday escaped unhurt after the fire broke out at a five star hotel in Dwarka.
Police said they have received a complaint from the cricketer, who stated that he had left his phones in the hotel room when he had gone for breakfast downstairs, on March 17.
Later, when his staff went to pack his things, the mobile phones were missing from the room, they said.