The Portugal international was with his family when the burglary took place.
A Manchester City statement read: “We are shocked and appalled that Joao Cancelo and his family were subjected to a burglary at their home this evening during which Joao was also assaulted.
“Joao and his family are being supported by the club and he is helping the police with their enquiries as they investigate this very serious matter.”
Cancelo wrote on Instagram: “Unfortunately today I was assaulted by four cowards who hurt me and tried to hurt my family.
“The most important thing for me is my family and luckily they are all OK.”
Cancelo joined City from Juventus in August 2019 and has made exactly 100 appearances for the club, scoring seven goals.
The 27-year-old full-back has been widely considered as one of the best players for Pep Guardiola’s Premier League leaders this season.