The 27-year-old was with his partner and daughter when the incident happened.
Cancelo tried to fight off the attackers and was left with bruises on his face, which he posted on social media.
The attack was carried out by four men who made away with jewellery.
'Unfortunately today I was assaulted by four cowards who hurt me and tried to hurt my family,' he said.
'When you show resistance this is what happens. They managed to take all my jewellery and leave me with my face with this state.
'I don't know how there are people with such meanness. The most important thing for me is my family and luckily they are all OK.
'And after so many obstacles in my life, this is just one more than I will overcome. Firm and strong, like always.'
In a statement condemning the attack, Manchester City said: '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 has been one of the best players in the Premier League this season, making 26 appearances across all competitions and scoring three goals while registering seven assists.
The Portugal international joined Man City from Juventus in the summer of 2019 and has won one Premier League and Carabao Cup.
