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.
Cancelo, who lost his mother in a car accident he was involved in as an 18-year-old back in 2013, was back playing for City just two days after the incident.
'That's life. It happens. It was horrific. It terrorised my family,' Cancelo opened up to reporters ahead of Manchester City’s UEFA Champions League trip to Sporting Lisbon on Tuesday.
'They didn't deserve to go through that.'
'I lost my mother (in 2013) and I had to continue. There have been lots of obstacles in my life and I've had to get over them. However much people try to make me suffer they won't achieve it.'
Cancelo has been one of the best players in the Premier League this season, making 32 appearances across all competitions and scoring three goals while registering eight assists.
The Portugal international joined Man City from Juventus in the summer of 2019 and has won one Premier League and Carabao Cup.
Cancelo recently extended his Manchester City contract until the summer of 2027.
