Thieves snatched her handbag, which contained keys for both Manchester United stars' mansions in leafy Alderley Edge.
Police called to the scene in Ashton-under-Lyne, near Manchester, on Monday alerted bosses at Old Trafford, who beefed up security at the two homes.
A source said: "There is no evidence this was a targeted break-in, but you simply don't know."
The keys were later found abandoned nearby. Police said: "Inquiries are ongoing."
Ronaldo, 23, and Anderson, 20, are both out of the country.