Sources close to the investigation confirmed to the news agency EFE that the break-in took place between 3-7 p.m. local time (9 a.m.-1 p.m. ET).
Meanwhile, Benzema was in action at the Bernabeu. He missed a penalty -- the first time he had failed to score for the club from the spot -- before going off injured in the 58th minute.
Madrid fought back from 2-0 down, after goals from Lucas Boye and Pere Milla put visitors Elche ahead, to draw the game thanks to a penalty from Luka Modric and a 92nd-minute header from Eder Militao.
It's not the first time that Benzema's home has been targeted.
A number of footballers' houses have been burglarized in recent years in Madrid, with intruders breaking in while the players are in action for their clubs.
In September 2019, Casemiro's house was broken into while his wife and daughter were inside.