The incident took place in suburban Bandra last night.
According to the police, Kambli spotted his Honda City car in a damaged condition at about 8 AM today.
The 41-year-old former batsman had parked the car outside his house at 9.30 pm yesterday.
"The thieves broke the car's windowpane and stole the music system worth Rs 40,000," an officer said, adding a theft case has been registered.
The incident was not captured by the CCTV in the building and there were no eyewitnesses, police said.