It is understood four men armed with knives broke into Wright's London home and held his wife and children before stealing personal possessions.
The 50-year-old pundit, who won fame as a striker for Arsenal, has been acting as an analyst at the World Cup for ITV.
Police said they were investigating an aggravated burglary at an address in north-west London.
"Personal possessions were stolen. The suspects are described as four black men aged between 18 and 25, with London accents, wearing dark clothing and hoodies obscuring their faces," a police spokesman said.