The 50-year-old former Arsenal player was working for British broadcaster ITV in Brazil when the incident happened yesterday night.
Police said in a statement "we are investigating an aggravated burglary at an address in northwest London" and that "personal possessions were stolen".
Wright tweeted yesterday night: "You won't get away with it!"
In a story published on ITV's website, a spokeswoman for Wright said his wife Nancy was "really shaken up" but that she and her children were "physically OK.