Burglars targeted the homes of Liverpool's Sadio Mane and Dejan Lovren during their Champions League home game on Wednesday.
A gang broke into Mane's home first, before smashing a patio door at Lovren's nearby home in Allerton, Liverpool at 20:00 GMT.
They fled when a woman at Lovren's home shouted that she was "calling the police".
Neither footballer played during Liverpool's 3-0 win against Maribor.
However it is thought both players, who are recovering from injury, attended the game at Anfield.
A number of footballers' homes have been hit by burglars while they played in games including Wayne Rooney, who was targeted during his own testimonial game at Old Trafford last year, and Liverpool striker Roberto Firmino.
Merseyside Police discovered Senegalese forward Mane's home had been broken into after they were called to Lovren's home.
Both players live in the same street.
A Merseyside Police spokesman said: "Following the first call to police, patrols and the police helicopter carried out an extensive search of the area, including the cemetery at the rear of the two properties targeted.
"The investigation by detectives is in its early stages but it is believed the offenders fled in a car and officers would appeal to anyone who saw a vehicle being driven suspiciously in the area at around 8pm to contact them. "
Mane, 25, is currently recovering from injury picked up during international duty with Senegal.
Croatian international Lovren, 28, received a death threat following his performance during Liverpool's recent 4-1 loss against Tottenham Hotspur.