Rossi, who led Italy to their 1982 World Cup title with six goals in the tournament, died aged 64 on Thursday and his funeral took place in Vicenza on Saturday morning.
ANSA said that, when she returned to their house in the Tuscan village of Bucine, his wife Federica Cappelletti found the house had been burgled and valuables stolen, including a watch.
It said forensic police were investigating.