They stole electrical items - then drove off in a car after finding the keys in the property.
Walcott, 21, girlfriend Melanie Slade, also 21, and his parents Lynn and Don had left the house in Hemel Hempstead, Herts, on Wednesday afternoon.
Generous Theo bought the dream home for Lynn and Don and his brother Ashley.
Ashley's VW Golf was stolen from the drive. A police source said: "The thieves clearly targeted the property as they knew his family would be out at the match. This is an organised crime gang and we are looking at links to other footballers who have had houses raided.
"They took the Golf and carried out any electrical items they could find."