Police said the robbery, along with earlier break-ins at the homes of Dirk Kuyt and Pepe Reina, are being linked.
In Tuesday night's raid, Gerrard's wife Alex Curran was confronted by four thieves dressed in balaclavas or hoods as he led his team to victory against Marseille in the Champions League.
The couple's daughters, Lilly-Ella, three, and one-year-old Lexie, were upstairs in bed at the time.
Merseyside Police said Ms Curran, 25, and another woman who was with her in the house, were shaken but unharmed.
The thieves escaped with a woman's Rolex watch and two sets of car keys after breaking into the house in the village of Freshfield, near Formby in Merseyside, at around 9.30pm.
Ian Cotton, Liverpool spokesman, said: "We were shocked to hear the news last night after the game in Marseille.
"Our first concerns are for the welfare of Alex, Steven and the family.
"The club takes this extremely seriously and we will be looking at ways to provide cover for the players' houses while they are away with the club on domestic and international duty."
Tuesday's robbery is the latest in a string of burglaries at the homes of Liverpool players during high-profile football games.
The home of goalkeeper Reina, also in Woolton, was ransacked during last May's Champions League semi-final.
Earlier incidents took place in 2005 and 2006 at the homes of Jerzy Dudek, Daniel Agger, Peter Crouch and Florent Sinama-Pongolle.
Superintendent Phil Scarth, of Merseyside Police, said: "I would like to express my sympathy to Mr and Mrs Gerrard for what is an upsetting experience.
"As with every burglary victim, we will be carrying out a thorough investigation and offering them crime prevention advice."
He added: "There have been a number of burglaries targeting the home addresses of footballers living in Merseyside.
"We are linking these incidents as the incidents have taken place while they have been away at fixtures."